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

From   Mark Schaffer <[email protected]>
To   [email protected], "Jonathan A. Schwabish" <[email protected]>
Subject   Re: Re: st: Newey-West standard errors in IV
Date   Mon, 10 Jan 2005 22:16:14 +0000 (GMT)


The "bandwidth" (bw) option with ivreg2 doesn't have the same meaning as the
"lag" option in newey2 (or newey2).  In your ivreg2 example, try bw(7). 
FYI, we did it this way because ivreg2 implements a number of other kernels
besides the Bartlett (=Newey-West) kernel, and "bandwidth" is the right
general term.  I admit it can confusing, though.


Quoting "Jonathan A. Schwabish" <[email protected]>:

> 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,
> jon
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Prof. Mark Schaffer
Director, CERT
Department of Economics
School of Management & Languages
Heriot-Watt University, Edinburgh EH14 4AS
tel +44-131-451-3494 / fax +44-131-451-3294
email: [email protected]


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