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Re: st: newey2 versus xtpcse


From   "Clive Nicholas" <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: newey2 versus xtpcse
Date   Sun, 2 Mar 2008 12:26:51 +0000

Mark Dincecco wrote:

>  I have an unbalanced panel data set with a very large T to N ratio.
>  Essentially, I follow 5 countries over a period of 200 or more years.
>  I must correct for contemporaneously correlated errors, panel
>  heteroskedasticity, and common serial correlation. I have opted to use
>  newey2 or xtpcse rather than xtgls following Beck and Katz (1995).
>
>  My question is the following: Is the only difference between newey2
>  and xtpcse that xtpcse controls for contemporaneously correlated
>  errors while newey2 does not? That is, does newey2 control for
>  contemporaneously correlated errors? Please note that for both
>  techniques I already control for panel heteroskedasticity and common
>  serial correlation.

[...]

I think your reading of the differences are broadly correct, but
instead of using -newey2-, why not use -ivreg2-, downloadable from
SSC, instead? Then you could do:

. ivreg2 y x1 x2, bw(2) robust small

which gives you OLS estimates with Newey West standard errors.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Thanks!]

"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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