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st: Newey-West standard errors in IV

From   "Jonathan A. Schwabish" <[email protected]>
To   [email protected]
Subject   st: Newey-West standard errors in IV
Date   Sun, 9 Jan 2005 17:43:27 -0800 (PST)

How can I calculate Newey-West standard errors in an
IV regression? As an example, say I want to estimate
the model:
y=x1 + x2 + x3 + e, 
where x3 is endogenous and Z is my instrument so that,
x3=x1+x2+Z+u will be the first-stage equation.

To estimate in Stata, I can run 
>ivreg y x1 x2 (x3=z)
It can be run separately too:
>regress x3 x1 x2 z
>predict x3_hat
>regress y x1 x2 x3_hat
The coefficients on x1, x2, and x3_hat will be the
same in these steps as in the -ivreg- command but the
standard errors will be wrong (secondary question: how
would one do this and recover the correct standard

To get the Newey-West standard errors for the second
stage, I assume I can't just use the -newey- command
after the last -regress- command. So, how can I adjust
the second-stage standard errors for autocorrelation?

Jon Schwabish
Partnership for New York City
[email protected]

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