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Re: st: Re: stata question

From   Cordula Stolberg <[email protected]>
To   [email protected]
Subject   Re: st: Re: stata question
Date   Tue, 17 Aug 2004 17:36:16 +0100


If you just want to do a regression without instrumental variables, you might also try to use newey2 (you can install it after typing -findit newey2-) with the -force- option, i.e.

newey2 y x1 x2 x3, lag(#) force

If you have an fe model, you will have to add the dummies yourself.

Hope this helps.

--On 17 August 2004 12:04 -0400 Kit Baum <[email protected]> wrote:


Suggest you use ivreg2 (findit ivreg2). It allows for a variety of HAC
error treatments (one of which is the Bartlett kernel used by
Newey-West), and works with panel data. If you want dummies (as in a FE
model), you will have to provide your own (or do the demeaning
previously). Please note that for HAC you must specify both robust and
bw() options.

Best wishes
Kit Baum

On Aug 17, 2004, at 11:57 AM, Rose Zhao wrote:

Hi Chris,

I have a stata question and  I am wondering if you can help---

how can you run a regression on a time-serie cross-sectional dataset
(panel dataset) using Newey robust errors in stata? I can't get the
newey command to work.


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