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st: How to determine bandwidth in ivreg2?


From   ling jin <jinlinglily@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: How to determine bandwidth in ivreg2?
Date   Sun, 26 Jun 2011 14:42:12 +0800

Dear Statalisters,

I use "bw(#)" combined with "robust" in the command "ivreg2" to
address heteroskedasticity and autocorrelation. What's the criteria to
determine bandwidth?

A simple note for the choice of bandwidth I've read is "T^(1/3)" in
Baum, Schaffer and Stillman (2007). Do you know why? Is the rule used
pervasively?

Thank you so much!

Best,
Lily

Reference:
Baum, Schaffer and Stillman (2007): Enhanced Routines for Instrumental
Variables/GMM Estimation and Testing
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