Statalist The Stata Listserver


[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: Re: Newey estimations


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Newey estimations
Date   Thu, 3 Aug 2006 09:15:05 -0400

Thanks to Clive for his enthusiastic endorsement of the "wildly popular"* ivreg2 and reminder that yes, it does OLS, HOLS and "Newey- West" if asked nicely (although a somewhat less bellicose set of references to its strengths might be appropriate given the daily contents of CNN).

To clarify, ivreg bw(2) == newey lag(1)
bw(5) == newey lag(4)
and so on.

ivreg2 also implements numerous other kernel estimators (beyond the Bartlett kernel employed by newey) and it may be worth trying them out. There is nothing sacrosant about Bartlett; other kernels may do a better job of estimating the LR variance in finite samples.

A followup paper to Baum, Schaffer, Stillman, Stata Journal 3:1 2003 describing all of the new bells and whistles in the ivreg2 suite is now in draft form. When we finalize the draft and submit to SJ, we will circulate the draft.

* That's a quote from StataCorp, not from the authors.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html
An Introduction to Modern Econometrics Using Stata:
http://www.stata-press.com/books/imeus.html


On Aug 3, 2006, at 2:33 AM, Clive wrote:


All of which is to say, download -ivreg2- from SSC. The -bw(2)- option is
Newey-West.
*
*   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/



© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index