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The F-stats coincide for -lag(0)- for -newey- and the sandwich VCV for
-regress-. As soon as you tell -newey- to use more lags for the standard
errors, it diverges from the robust -regress- standard errors. Given this
divergence, why do you find it surprising that the F-tests diverge as well?
After all, they jointly test for zero slopes of the covariates, so the
standard error has to have some bearing on that...
*************
webuse idle2, clear
tsset time
//identical
reg usr idle, vce(robust)
newey usr idle, lag(0)
//difference
reg usr idle, vce(robust)
newey usr idle, lag(1)
*************
HTH
Martin
-----Ursprüngliche Nachricht-----
Von: [email protected]
[mailto:[email protected]] Im Auftrag von Hernan Urcola
Gesendet: Dienstag, 19. Mai 2009 03:10
An: [email protected]
Betreff: st: F-statistic using Newey
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
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