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Re: st: what is the difference between newey and nwest?


From   Clive Nicholas <clivelists@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: what is the difference between newey and nwest?
Date   Fri, 31 Jul 2009 16:04:45 +0100

Rose asked:

> -newey- and -nwest- are both used to estimate Newey-West standard errors in the stata.
> Why the results of them are different?
> And the results for -nwest- is different each time I run.

[...]

> . nwest reg y x, lag(1) force

[...]

> . nwest reg y x, lag(1) force

[...]

> . newey y x,lag(1) force

[...]

Why are you messing around with these commands when you should be
using Baum/Schaffer/Stillman's user-written -ivreg2- instead? Download
it from SSC. The -, bw(2) robust small- options produce correct
Newey-West standard errors.

-- 
Clive Nicholas

[Please DO NOT mail me personally here, but at
<clivenicholas@hotmail.com>. Please respond to contributions I make in
a list thread here. Thanks!]

"My colleagues in the social sciences talk a great deal about
methodology. I prefer to call it style." -- Freeman J. Dyson.
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