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


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

 .	

Kit's answer raises a question I have wondered about since the introduction of -ivregress- in Stata 10: could the -vce()- options of -ivregress- also be incorporated into -regress- itself (and other commands where appropriate)? In that case, -reg y x, vce(hac nw opt)- (for example) would be a very convenient way to estimate OLS with HAC standard errors (with the bandwidth "optimally" chosen). Such a command would supercede (and thus deprecate) both -newey (official Stata) and -newey2- (which Kit's message indicated has already been deprecated by its author). Unifying the handling of variance estimators across a broad class of estimators would seem to be not just convenient but add some currently missing functionality (as the example above indicates), as well as impose some consistency that would benefit new and occasional Stata users.

Just a thought -- and a hopeful request that such a feature will make its way into the next update to Stata 10.1 (or, if necessary, 10.2).

Thanks,
Mike

On Oct 11, 2008, at 4:07 PM, Kit Baum wrote:
< >
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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