Evelyn Colino de Cantero wrote:
[...]
> Does somebody knows what is the exactly procedure Stata
> follows to test parameters under linear reg. with Newey-West
> std. errors estimators?
Why use a wimpish, water-pistol version of OLS Newey-West in Stata when
you can use a OLS Newey-West package that's chock-full with AK47s, Desert
Eagles and Kalashnikovs? An example:
. webuse grunfeld
. ivreg2 invest mvalue kstock, bw(2) robust small
OLS regression with robust standard errors
------------------------------------------
Heteroskedasticity and autocorrelation-consistent statistics
kernel=Bartlett; bandwidth=2
time variable (t): year
group variable (i): company
Number of obs = 200
F( 2, 197) = 113.16
Prob > F = 0.0000
Total (centered) SS = 9359943.917 Centered R2 = 0.8124
Total (uncentered) SS = 13620706.07 Uncentered R2 = 0.8711
Residual SS = 1755850.432 Root MSE = 94.41
----------------------------------------------------------------------------
| Robust
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
mvalue | .1155622 .0085916 13.45 0.000 .0986189 .1325054
kstock | .2306785 .058479 3.94 0.000 .1153533 .3460037
_cons | -42.71437 14.04683 -3.04 0.003 -70.41583 -15.01291
----------------------------------------------------------------------------
. ivreg2 invest mvalue kstock time, bw(2) robust small
OLS regression with robust standard errors
------------------------------------------
Heteroskedasticity and autocorrelation-consistent statistics
kernel=Bartlett; bandwidth=2
time variable (t): year
group variable (i): company
Number of obs = 200
F( 3, 196) = 79.84
Prob > F = 0.0000
Total (centered) SS = 9359943.917 Centered R2 = 0.8127
Total (uncentered) SS = 13620706.07 Uncentered R2 = 0.8713
Residual SS = 1753085.77 Root MSE = 94.57
----------------------------------------------------------------------------
| Robust
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-----------+----------------------------------------------------------------
mvalue | .1163783 .0085026 13.69 0.000 .0996099 .1331467
kstock | .2213351 .0667831 3.31 0.001 .0896294 .3530408
time | .7737904 1.782941 0.43 0.665 -2.742421 4.290002
_cons | -49.14306 15.96811 -3.08 0.002 -80.63443 -17.65169
----------------------------------------------------------------------------
> Is still valid to use the "test" command for this pourpose?
Yes:
. test time
( 1) time = 0
F( 1, 196) = 0.19
Prob > F = 0.6648
All of which is to say, download -ivreg2- from SSC. The -bw(2)- option is
Newey-West.
Hope all that helps. :)
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
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