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Re: st: re: newey, F


From   richard boylan <[email protected]>
To   [email protected]
Subject   Re: st: re: newey, F
Date   Fri, 19 Mar 2010 13:36:08 -0500

Got it. I am sorry for being dense.

On Fri, Mar 19, 2010 at 1:30 PM, Rodolphe Desbordes
<[email protected]> wrote:
> Richard,
>
> As Kit said, -xtivreg2- is a wrapper for -ivreg2-. You can use the latter to obtain "pooled" estimates.
>
> Rodolphe
> ________________________________________
> From: [email protected] [[email protected]] On Behalf Of richard boylan [[email protected]]
> Sent: 19 March 2010 18:25
> To: [email protected]
> Subject: Re: st: re: newey, F
>
> Thanks. Is there any way to use xtivreg2 to obtain pooled estimates?
>
> I.e., without using fe or fd?
>
> "error - must specify either fe or fd option
> invalid syntax"
>
>
> On Fri, Mar 19, 2010 at 11:40 AM, Kit Baum <[email protected]> wrote:
>> <>
>> 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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