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

To |
statalist@hsphsun2.harvard.edu |

Subject |
Re: -vce(hac)- options in -regress-? [was: st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors] |

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

.

Thanks, Mike On Oct 11, 2008, at 4:07 PM, Kit Baum wrote:

< >Re Michael Hanson's comments on David Roodman's -newey2-: Davidhas on more than one occasion suggested that those wanting tocalculate Newey-West standard errors in an OLS regression shouldjust use -ivreg2- of Baum, Schaffer, Stillman. Despite its name itis happy to estimate OLS models without any instruments, and it canestimate Newey-West standard errors as well as a variety of otherHAC 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 as well. The -ivregress- syntax states that the (varlist2 =varlist_iv) component is mandatory, but the program does notenforce 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 * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

* * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/statalist/faq * http://www.ats.ucla.edu/stat/stata/

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