Rose,
Date sent: Tue, 17 Aug 2004 17:36:16 +0100
From: Cordula Stolberg <[email protected]>
To: [email protected]
Subject: Re: st: Re: stata question
Send reply to: [email protected]
> Rose,
>
> If you just want to do a regression without instrumental variables, you
> might also try to use newey2 (you can install it after typing -findit
> newey2-) with the -force- option, i.e.
>
> newey2 y x1 x2 x3, lag(#) force
As Kit Baum pointed out in a posting to Statalist earlier this month,
> 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.)
Cheers,
Mark
>
> If you have an fe model, you will have to add the dummies yourself.
>
> Hope this helps.
> Cordula
>
> --On 17 August 2004 12:04 -0400 Kit Baum <[email protected]> wrote:
>
> > Rose,
> >
> > Suggest you use ivreg2 (findit ivreg2). It allows for a variety of HAC
> > error treatments (one of which is the Bartlett kernel used by
> > Newey-West), and works with panel data. If you want dummies (as in a FE
> > model), you will have to provide your own (or do the demeaning
> > previously). Please note that for HAC you must specify both robust and
> > bw() options.
> >
> > Best wishes
> > Kit Baum
> >
> > On Aug 17, 2004, at 11:57 AM, Rose Zhao wrote:
> >
> >> Hi Chris,
> >>
> >> I have a stata question and I am wondering if you can help---
> >>
> >> how can you run a regression on a time-serie cross-sectional dataset
> >> (panel dataset) using Newey robust errors in stata? I can't get the
> >> newey command to work.
> >>
> >> Thanks,
> >>
> >> --
> >> Rose
> >
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
>
>
>
>
> *
> * For searches and help try:
> * http://www.stata.com/support/faqs/res/findit.html
> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3008 fax
44-131-451-3485 CERT administrator
http://www.som.hw.ac.uk/cert
*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
