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st: Re: newey2 v ivreg2 (corr)

From   Kit Baum <[email protected]>
To   [email protected]
Subject   st: Re: newey2 v ivreg2 (corr)
Date   Tue, 11 Jan 2005 09:35:48 -0500

Indeed it can be confusing! Mark is absolutely right--you should ADD one to bw(), which starts counting from zero, to match lags(). Sorry for the added confusion!

Kit Baum, Boston College Economics

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

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.
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