Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

[no subject]

From   <>
Date   Fri, 16 Sep 2005 03:21:59 +0700

I have a question about different approaches to robust
standard errors using ivreg2 with panel data.  My
understanding is that ivreg2 with the bw() option produces
Newey-West standard errors.  In the panel context, I believe
that using the cluster option is analagous to applying
Newey-West where we allow for all lags to be important. 
Hence, I would expect that using the cluster option is
equivalent to speciying robust and bw(t), where t is the
number of time periods in the data.  However, I see that the
results are not the same.  Here is an example:

tsset id year
ivreg2 n w k ys, bw(9) robust small /* newey-west? */
ivreg2 n w k ys, cluster(id)

So either my understanding of newey-west and cluster is wrong
or my attempt to implement them is wrong (or both!).  Does
anyone have insights into these issues?  Thanks.
*   For searches and help try:

© Copyright 1996–2017 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index