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Re: Re: st: Newey-West standard errors in IV

From   "Jonathan A. Schwabish" <[email protected]>
To   [email protected]
Subject   Re: Re: st: Newey-West standard errors in IV
Date   Mon, 10 Jan 2005 15:09:29 -0800 (PST)

Thanks for your response. Is there any reason why the
two commands (ivreg2 and newey2) would produce
different standard errors? I would have thought that

.ivreg2 y x1 x2 (x3=z), bw(6) robust

would have generated the same standard errors as:

.ivreg y x1 x2 (x3=z)
.newey2 y x1 x2 (x3=z), lag(6) t(time)

but when I tried it on a sample data set the two
generated different sets of s.e. Any ideas?

Thanks again,

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