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st: AW: F-statistic using Newey


From   "Martin Weiss" <martin.weiss1@gmx.de>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: AW: F-statistic using Newey
Date   Tue, 19 May 2009 09:12:21 +0200

<> 

The F-stats coincide for -lag(0)- for -newey- and the sandwich VCV for
-regress-. As soon as you tell -newey- to use more lags for the standard
errors, it diverges from the robust -regress- standard errors. Given this
divergence, why do you find it surprising that the F-tests diverge as well?
After all, they jointly test for zero slopes of the covariates, so the
standard error has to have some bearing on that...

*************
webuse idle2, clear
tsset time

//identical
reg usr idle, vce(robust)
newey usr idle, lag(0)

//difference
reg usr idle, vce(robust)
newey usr idle, lag(1)
*************



HTH
Martin


-----Ursprüngliche Nachricht-----
Von: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] Im Auftrag von Hernan Urcola
Gesendet: Dienstag, 19. Mai 2009 03:10
An: statalist@hsphsun2.harvard.edu
Betreff: st: F-statistic using Newey

I am running a series of regressions using the regress and newey
procedures. However, the F-statistic is different when I run regress y
x than when I run newey y x. I thought the newey procedure only
adjusted the VCV matrix leaving the residuals (used to compute the
F-stat) unchanged, but apparently that is not case.
Does anybody know the exact formulas that Stata uses to compute the
F-statistic under the newey procedure?

Thanks much,

Hernan
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