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st: Newey-West


From   "Andrea Molinari" <A.Molinari@sussex.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: Newey-West
Date   Mon, 19 Sep 2005 11:53:39 +0100

Dear Statalisters,

I am trying to estimate a fixed effects model with heteroscedasticity and
serially correlated corrected standard errors. I am currently using -newey2-
and including the fixed effects as dummies, but I thought that maybe STATA
has a safer (as some of the dummies get dropped on the way, changing the
interpretation of other dummies in the model) and more efficient way (it
takes me quite a while to estimate each specification).

I tried looking at the STATA search and website, but could not find any
obvious answer...Has anyone got any suggestions? It may be easier with
version 9, but (unfortunately) I only have version 8.2 at the moment.

Many thanks in advance!
Andrea

----- Original Message ----- 
From: "Richard Williams" <Richard.A.Williams.5@ND.edu>
To: <statalist@hsphsun2.harvard.edu>
Sent: Friday, August 19, 2005 4:24 PM
Subject: Re: st: Problems with program


> At 09:47 AM 8/19/2005 +0100, Andrea Molinari wrote:
> >Many thanks for all your replies!
> >Nick, you're totally right. The main problem is that I can't put the
program
> >inside the loop because the word -end- stops the loop.
> >I'm sorry for my ignorance, but can I please ask what did you mean by
"pass
> >`var' to -regse- in an option"? I thought this meant to define the local
in
> >the program, but that didn't work either.
> >Many thanks again and again!
> >Andrea
>
> Andrea, you are already passing options to your program.  Here are the
> first few lines:
>
> capture program drop regse
> program regse
> local dep `1'
> local xvar "`2'"
> local cons `3'
>
> Now add this line:
>
> local var `4'
>
>
> Later on, when you call regse, you have this line:
>
> regse uset`var'PRE "$xvarsetPRE" conssePRE
>
>
> Change that to
>
> regse uset`var'PRE "$xvarsetPRE" conssePRE `var'
>
> I haven't actually tried it, but I think this, or something like this,
will
> work.
>
> -------------------------------------------
> Richard Williams, Notre Dame Dept of Sociology
> OFFICE: (574)631-6668, (574)631-6463
> FAX:    (574)288-4373
> HOME:   (574)289-5227
> EMAIL:  Richard.A.Williams.5@ND.Edu
> WWW (personal):    http://www.nd.edu/~rwilliam
> WWW (department):    http://www.nd.edu/~soc
>
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