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RE: st: Newey estimations


From   "Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Newey estimations
Date   Thu, 3 Aug 2006 11:04:40 +0100

Allin,

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu 
> [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of 
> Allin Cottrell
> Sent: 03 August 2006 01:56
> To: statalist@hsphsun2.harvard.edu
> Subject: Re: st: Newey estimations
> 
> On Thu, 3 Aug 2006, Clive Nicholas wrote:
> 
> >> Does somebody knows what is the exactly procedure Stata follows to 
> >> test parameters under linear reg. with Newey-West std. errors 
> >> estimators?
> >
> > Why use a wimpish, water-pistol version of OLS Newey-West in Stata 
> > when you can use a OLS Newey-West package that's chock-full with 
> > AK47s, Desert Eagles and Kalashnikovs? An
> > example:
> 
> <snip>
> 
> > Total (centered) SS     =  9359943.917
> 
> These 10-digit, "smart-bomb" results are verified using 
> multiple-precision arithmetic, I trust?
> 
> Allin Cottrell
> Wake Forest University

Actually, this bit is also part of the water pistol.  Stata's -newey-
calls the built-in workhorse -regress-, and although the former doesn't
report the SS, the latter does calculate it:

. webuse grunfeld

. regress invest mvalue kstock

<snip>

       Total |  9359943.92   199  47034.8941

--Mark


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