[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

Re: st: newey2 versus xtpcse

From   "Clive Nicholas" <>
Subject   Re: st: newey2 versus xtpcse
Date   Sun, 2 Mar 2008 12:26:51 +0000

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
<>. Thanks!]

"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
*   For searches and help try:

© Copyright 1996–2019 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index