Mark Schaffer replied:
> Try adding the -robust- option to ivreg2. I think the problem is
> that you are requesting from ivreg2 standard errors that are robust
> to autocorrelation but not heteroskedasticity. ivreg2 can provide
> standard errors with and without heteroskedasticity-robustness, but
> newey and newey2 standard errors are always the robust type.
Using the -garmit- data again:
. tsset nation year
panel variable: nation, 1 to 18
time variable: year, 1961 to 1994
. newey2 growthpc trade fdi unem left spend captax labtax, lag(1)
Regression with Newey-West standard errors Number of obs = 352
maximum lag : 1 F( 7, 344) = 4.89
Prob > F = 0.0000
----------------------------------------------------------------------------
| Newey-West
growthpc | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
trade | .0051762 .0063955 0.81 0.419 -.007403 .0177555
fdi | .1112711 .1114347 1.00 0.319 -.107908 .3304503
unem | -.0917037 .0489144 -1.87 0.062 -.1879127 .0045053
left | -.0011842 .0035009 -0.34 0.735 -.0080701 .0057017
spend | -.0295982 .0455134 -0.65 0.516 -.1191177 .0599213
captax | -.0620164 .0155124 -4.00 0.000 -.0925275 -.0315053
labtax | -.0282463 .0348024 -0.81 0.418 -.0966986 .0402061
_cons | 6.832187 .9175741 7.45 0.000 5.027425 8.636949
----------------------------------------------------------------------------
. ivreg2 growthpc trade fdi unem left spend captax labtax, bw(2) robust
OLS regression with robust standard errors
------------------------------------------
Heteroskedasticity and autocorrelation-consistent statistics
kernel=Bartlett; bandwidth=2
time variable (t): year
group variable (i): nation
Number of obs = 352
F( 7, 344) = 4.89
Prob > F = 0.0000
Total (centered) SS = 2042.961127 Centered R2 = 0.1708
Total (uncentered) SS = 4004.310028 Uncentered R2 = 0.5769
Residual SS = 1694.045908 Root MSE = 2.2
----------------------------------------------------------------------------
| Robust
growthpc | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-----------+----------------------------------------------------------------
trade | .0051762 .0063224 0.82 0.413 -.0072155 .0175679
fdi | .1112711 .1101611 1.01 0.312 -.1046407 .3271829
unem | -.0917037 .0483554 -1.90 0.058 -.1864785 .0030711
left | -.0011842 .0034609 -0.34 0.732 -.0079675 .005599
spend | -.0295982 .0449932 -0.66 0.511 -.1177832 .0585868
captax | -.0620164 .0153351 -4.04 0.000 -.0920726 -.0319602
labtax | -.0282463 .0344047 -0.82 0.412 -.0956781 .0391856
_cons | 6.832187 .9070872 7.53 0.000 5.054329 8.610045
----------------------------------------------------------------------------
Despite Mark's suggestion, I'm still getting different standard errors
(remember also that this isn't my data!). I'm completely out of ideas as
to what to do here.
Another, seperate query about -ivreg2- follows shortly.
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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