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st: Re: FGLS and newey2


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: FGLS and newey2
Date   Thu, 5 Aug 2004 10:54:40 -0400

On Aug 5, 2004, at 2:33 AM, Clive wrote:

You don't necessarily _have_ to use FGLS. You could, for instance, try
David Roodman's user-written -newey2-, downloadable from SSC. With this
routine, you can also fit a fixed-effects model _and_ obtain OLS parameter
estimates corrected for both autocorrelation and heteroscedasticity. For
instance:

. xi: newey2 y x1 x2 i.fe xk, lag(#) force

I was reminded about all this off-list by another Statalist member last
week. So long as you _don't_ have a lagged dependent variable, this works
just as well as -areg- or -xtreg, fe-.
Not to disparage David's excellent work (from which we have liberally 'borrowed') but ivreg2 can do just about anything that newey2 can do, and more (choice of different kernel estimators for the AC part; AC without the H; etc.)

Kit

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