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


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors
Date   Tue, 14 Oct 2008 06:22:37 -0400

< >
Yes. Bartlett kernel BW = lags + 1.  From the help file:


Note: in the cases of the Bartlett, Parzen, and Tukey-Hanning/ Hamming kernels, the number of lags used to construct the kernel estimate equals the bandwidth minus one. Stata's official newey implements HAC standard errors based on the Bartlett kernel, and requires the user to specify the maximum number of lags used and not the bandwidth; see help newey. If these kernels are used with bw(1), no lags are used and ivreg2 will report the usual Eicker/Huber/White/sandwich variance estimates.



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


On Oct 14, 2008, at 02:33 , Tom wrote:


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.

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