st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors

[Kit Baum <baum@bc.edu>]

< >
Re Michael Hanson's comments on David Roodman's -newey2-:  David has  
on more than one occasion suggested that those wanting to calculate  
Newey-West standard errors in an OLS regression should just use - 
ivreg2- of Baum, Schaffer, Stillman. Despite its name it is happy to  
estimate OLS models without any instruments, and it can estimate Newey- 
West standard errors as well as a variety of other HAC models. E.g.

ivreg2 irx t, robust bw(9)

Notice that it reports the presence of gaps but does not choke on  
them. -ivreg2- requires Stata 9.2.

In fact, contradictory to its syntax diagram, -ivregress- can do this  
as well. The -ivregress- syntax states that the (varlist2 =  
varlist_iv)  component is mandatory, but the program does not enforce  
this:

ivregress 2sls irx t, vce(hac bartlett 8)

works, making no mention of gaps.  -ivregress- requires Stata 10.

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


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