This file gives some basic information on the use of three Stata commands
that implement fixed-b critical values and p-values for the Stata commands

newey

xtscc

test


The fixed-b versions of these commands are

neweyfixedb   (in ado file neweyfixedb.ado)

xtsccfixedb   (in ado file xtsccfixedb.ado)

testfixedb    (in ado file testfixedb.ado)


Note that neweyfixedb_10 is a version of neweyfixedb for version 10 of Stata.


All of the fixed-b commands use the same syntax as the non-fixed-b versions. The only difference
is with the output which computes p-values and confidence intervals using fixed-b critical values.

The testfixedb command will only work when it is used immediately after either the neweyfixedb or xtsccfixedb commands.

The neweyfixedb command also has an additional feature not available in the newey command. If you set the truncation lag
to a negative number, the Andrews (1991) AR(1) plug-in data dependent bandwidth rule will be used.

The ado files

neweyfixedb_tab.ado

xtsccfixedb_tab.ado

are used by the neweyfixedb and xtsccfixedb commands.


These fixed-b commands seem to be working as intended but extensive debugging has not been completed yet.

Place all of the .ado files in a directory that Stata searchers when looking for .ado files.

Tim Vogelsang 11/3/2011 
