Mark Dincecco wrote:
> I have an unbalanced panel data set with a very large T to N ratio.
> Essentially, I follow 5 countries over a period of 200 or more years.
> I must correct for contemporaneously correlated errors, panel
> heteroskedasticity, and common serial correlation. I have opted to use
> newey2 or xtpcse rather than xtgls following Beck and Katz (1995).
>
> My question is the following: Is the only difference between newey2
> and xtpcse that xtpcse controls for contemporaneously correlated
> errors while newey2 does not? That is, does newey2 control for
> contemporaneously correlated errors? Please note that for both
> techniques I already control for panel heteroskedasticity and common
> serial correlation.
[...]
I think your reading of the differences are broadly correct, but
instead of using -newey2-, why not use -ivreg2-, downloadable from
SSC, instead? Then you could do:
. ivreg2 y x1 x2, bw(2) robust small
which gives you OLS estimates with Newey West standard errors.
--
Clive Nicholas
[Please DO NOT mail me personally here, but at
<[email protected]>. Thanks!]
"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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