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From |
Kit Baum <baum@bc.edu> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Re: F-statistic using Newey |

Date |
Tue, 19 May 2009 07:11:07 -0400 |

<> You don't have to go that far to find this issue arising: sysuse auto reg price mpg reg price mpg, robust

Kit Baum | Boston College Economics & 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 May 19, 2009, at 02:33 , Herman wrote:

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?

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