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st: Re: newey2 v ivreg2

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: newey2 v ivreg2
Date   Tue, 11 Jan 2005 09:34:37 -0500

No; bw(6) does not mean the same thing as lag(6). Try bw(5) [see ivreg2 help].

Kit Baum, Boston College Economics

On Jan 11, 2005, at 2:33 AM, Jonathan wrote:

.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?
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