Statalist


[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: F-statistic using Newey


From   Hernan Urcola <[email protected]>
To   [email protected]
Subject   st: F-statistic using Newey
Date   Mon, 18 May 2009 22:09:32 -0300

I am running a series of regressions using the regress and newey
procedures. However, the F-statistic is different when I run regress y
x than when I run newey y x. I thought the newey procedure only
adjusted the VCV matrix leaving the residuals (used to compute the
F-stat) unchanged, but apparently that is not case.
Does anybody know the exact formulas that Stata uses to compute the
F-statistic under the newey procedure?

Thanks much,

Hernan
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



© Copyright 1996–2024 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index