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Re: st: newey2 versus xtpcse

From   "Clive Nicholas" <>
Subject   Re: st: newey2 versus xtpcse
Date   Mon, 3 Mar 2008 00:47:46 +0000

Mark Dincecco wrote:

> Thanks, Clive. I take it that bw(2) and not bw(1) must be used to
>  model an AR1 process.

Using -ivreg2- with the options I stated gives you a lagged OLS model
with an AR1 error process.

> The only difference I see between ivreg and
>  newey is that ivreg makes the "small" adjustment for the degrees of
>  freedom. But neither approach addresses the issue of contemporaneously
>  correlated errors, right?

I thought I'd said that, albeit in a roundabout way, last time out. I
have no more to contribute to this thread, but other listees may be
able to address this particular concern in a Stata context and in more

Clive Nicholas

[Please DO NOT mail me personally here, but at
<>. Thanks!]

"Courage is going from failure to failure without losing enthusiasm."
-- Winston Churchill
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