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st: re: newey, F


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: re: newey, F
Date   Fri, 19 Mar 2010 12:40:22 -0400

<>
I looked at that first, and I must be missing something really obvious
because I could not find an option for Newey-West standard error in
xtivreg2.

(ivreg2 has that option, but I could not figure out how to use ivreg2
to give me pooled panel estimates).


xtivreg2 is just a wrapper for ivreg2, and almost all ivreg2 options are available in xtivreg2. I suggest you use the options

gmm2s robust bw(?)  

where you specify the appropriate bandwidth (generally one more than lags() in newey)

Note that auto bandwidth selection is not available in xtivreg2.

Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html


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