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st: ivreg2, bw vs cluster--2nd attempt


From   <crberry@uchicago.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: ivreg2, bw vs cluster--2nd attempt
Date   Fri, 16 Sep 2005 03:28:22 +0700

Sorry if this is a double-posting.  I got an error message
after the first attempt and couldn't tell whether it went
through. 

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:

use http://fmwww.bc.edu/ec-p/data/macro/abdata.dta

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.
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