Check James Hardin's paper on how a simultaneous variance estimator
can be constructed:
http://www.stata-journal.com/article.html?article=st0018. I imagine
you could extended in Newey-West fashion, although you'd face a lot of
specialized coding.
On Wed, Oct 21, 2009 at 11:09 AM, margherita Comola
<[email protected]> wrote:
> Dear Statalist,
>
> I am estimating an probit model where the observations are by
> construction non-independent. In order to get the corrected standard
> errors, I apply a version of the Newey and West (1987) robust
> covariance matrix [specifically, the version proposed by Fafchamps and
> Gubert (2007) in the context of dyadic observation: I correlate the
> error of the observation ij with all the other observations which
> include either i or j: ik, jk, ki, kj].
>
> Aside, I also need to instrument a (continuous) regressor. For
> practical convenience, I proceed with a two-step estimation adding to
> the probit model the fitted values of the first step regression. This
> boils down to a generated regressor problem, that I know it is usually
> corrected with Murphy-Topel technique.
>
> Now my question is the following:
> How can I incorporate the Murphy-Topel (1985) correction into a Newey
> and West type VCV matrix? are the two correction compatibles? how can
> I do it, in practice?
>
> Thanks alot,
> Margherita
>
>
>
> --
> Margherita Comola
> Paris School of Economics
> Email: [email protected]
> http://www.pse.ens.fr/comola/index.html
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--
Stas Kolenikov, also found at http://stas.kolenikov.name
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