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From |
Michael Hanson <mshanson@mac.com> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors |

Date |
Mon, 13 Oct 2008 14:19:31 -0400 |

Tom:

HTH, Mike On Oct 13, 2008, at 12:27 PM, Thomas Jacobs wrote:

Kit, Thanks for introducing me to ivregress and ivreg2 for use in newey west estimation. I was unfamiliar with both commands. I confirmed they run just as you indicated with both the examples Michael Hanson provided as well as the questions from my original post. No problems with either time series commands or gaps. Is the translation between newey west lags and bartlett kernel bandwidth simply bandwidth = lags +1 as it appears? I was unsure from the ivreg2 help file. Thanks again. Tom On Sat, Oct 11, 2008 at 3:07 PM, Kit Baum <baum@bc.edu> wrote:< >Re Michael Hanson's comments on David Roodman's -newey2-: Davidhas on morethan one occasion suggested that those wanting to calculate Newey-Weststandard errors in an OLS regression should just use -ivreg2- ofBaum,Schaffer, Stillman. Despite its name it is happy to estimate OLSmodelswithout any instruments, and it can estimate Newey-West standarderrors aswell 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 onthem.-ivreg2- requires Stata 9.2.In fact, contradictory to its syntax diagram, -ivregress- can dothis aswell. 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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**Follow-Ups**:**Re: st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors***From:*"Thomas Jacobs" <thomasjacobs@gmail.com>

**References**:**st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors***From:*Kit Baum <baum@bc.edu>

**Re: st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors***From:*"Thomas Jacobs" <thomasjacobs@gmail.com>

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