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HAIF: Stata module to compute Homoskedastic Adjustment Inflation Factors for model selection

Author

Listed:
  • Roger Newson

    () (National Heart and Lung Institute at Imperial College London)

Abstract

haif calculates homoskedastic adjustment inflation factors (HAIFs) for core variables in the corevarlist, caused by adjustment by the additional variables specified by addvars(). HAIFs are calculated for the variances and standard errors of estimated linear regression parameters corresponding to the core variables. For each variance (or standard error), the HAIF is defined as the ratio between that variance (or standard error) of that parameter, in a model containing both the core variables and the additional variables, to the corresponding variance (or standard error) of the same parameter, in a model containing only the core variables, calculated assuming that the second model is true, and also assuming that the outcome variable is homoskedastic (meaning that it has equal variances in all subpopulations defined by the predictor variables). haifcomp calculates the ratios between the HAIFs for the same core variables caused by adjustment for two alternative lists of additional variables, namely a numerator list and a denominator list. haif and haifcomp are intended for use in model selection, allowing the user to choose a model based on the joint distribution of the exposures and confounders, before estimating the parameters of the model from the data on the outcome variable.

Suggested Citation

  • Roger Newson, 2009. "HAIF: Stata module to compute Homoskedastic Adjustment Inflation Factors for model selection," Statistical Software Components S457016, Boston College Department of Economics, revised 05 Oct 2013.
  • Handle: RePEc:boc:bocode:s457016
    Note: This module should be installed from within Stata by typing "ssc install haif". Windows users should not attempt to download these files with a web browser.
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    File URL: http://fmwww.bc.edu/repec/bocode/h/haif.ado
    File Function: program code
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    File URL: http://fmwww.bc.edu/repec/bocode/h/haif.sthlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/h/haifcomp.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/h/haifcomp.sthlp
    File Function: help file
    Download Restriction: no

    Citations

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    Cited by:

    1. de Mello Luiz & Moccero Diego & Mogliani Matteo, 2013. "Do Latin American Central Bankers Behave Non-Linearly? The Experiences of Brazil, Chile, Colombia and Mexico," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(2), pages 141-165, April.
    2. María Cuenca Coral, Felipe Amaya, Bryan Castrillón, 2015. "La política monetaria y el crecimiento económico en Colombia, 1990-2010," REVISTA CIFE, UNIVERSIDAD SANTO TOMÁS, February.
    3. Carlos Fernando Daza Moreno & Jorge Mario Uribe, 2016. "Efectos de los cambios de la tasa de interés de Estados Unidos sobre Colombia, Perú y Chile," REVISTA DE ECONOMÍA DEL CARIBE 014794, UNIVERSIDAD DEL NORTE.
    4. Andrés Felipe Londoño & Jorge Andrés Tamayo & Carlos Alberto Velásquez, 2012. "Dinámica de la política monetaria e inflación objetivo en Colombia: una aproximación FAVAR," ENSAYOS SOBRE POLÍTICA ECONÓMICA, BANCO DE LA REPÚBLICA - ESPE, vol. 30(68), pages 14-71, June.
    5. Pavel Vidal & Gilberto Ramírez & Lya Paola Sierra, 2018. "¿Por qué el Valle del Cauca ha crecido más que el promedio nacional? Un análisis regional de los ciclos y los choques económicos," Working Papers 33, Faculty of Economics and Management, Pontificia Universidad Javeriana Cali.
    6. Franz Hamann & Juan Manuel Julio & Paulina Restrepo & Alvaro Jose Riascos Villegas, 2004. "Inflation Targeting In A Small Open Economy: The Colombian Case," BORRADORES DE ECONOMIA 002855, BANCO DE LA REPÚBLICA.
    7. Luiz De Mello & Diego Moccero, 2009. "Monetary Policy and Inflation Expectations in Latin America: Long-Run Effects and Volatility Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(8), pages 1671-1690, December.
    8. Franz Hamann Salcedo & Juan Manuel Julio & Paulina Restrepo, 2004. "Inflation Targeting in a Samll Open Economy: The Colombian Case," Borradores de Economia 308, Banco de la Republica de Colombia.

    More about this item

    Keywords

    homoskedasticity; model selection;

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