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Re: Re: st: newey2 versus xtpcse


From   nicola.baldini2@unibo.it
To   statalist@hsphsun2.harvard.edu
Subject   Re: Re: st: newey2 versus xtpcse
Date   Wed, 05 Mar 2008 19:31:23 +0100

in -xtscc- from SSC the error structure is assumed to be heteroskedastic, autocorrelated up to some lag, and possibly correlated between the groups (panels).
Nicola

At 02.33 03/03/2008 -0500, "Mark Dincecco" wrote:
>Thanks, Clive. I take it that bw(2) and not bw(1) must be used to
>model an AR1 process. The only difference I see between ivreg and
>newey is that ivreg makes the "small" adjustment for the degrees of
>freedom. But neither approach addresses the issue of contemporaneously
>correlated errors, right?
>
>Cheers,
>Mark
>
>On Sun, Mar 2, 2008 at 1:26 PM, Clive Nicholas
><clivelists@googlemail.com> wrote:
>> 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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