-newey- and -nwest- are both used to estimate Newey-West standard errors in the stata.
Why the results of them are different?
And the results for -nwest- is different each time I run.
The results are as follows,
. nwest reg y x, lag(1) force
Regression with Newey-West standard errors Number of obs = 5000
maximum lag : 1 F( 1, 4998) = 1320.16
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | 1.034833 .0284812 36.33 0.000 .9789979 1.090669
_cons | .0296797 .0282062 1.05 0.293 -.0256169 .0849763
------------------------------------------------------------------------------
. nwest reg y x, lag(1) force
Regression with Newey-West standard errors Number of obs = 5000
maximum lag : 1 F( 1, 4998) = 1317.95
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | 1.034833 .028505 36.30 0.000 .9789512 1.090716
_cons | .0296797 .0282159 1.05 0.293 -.0256359 .0849953
------------------------------------------------------------------------------
. newey y x,lag(1) force
Regression with Newey-West standard errors Number of obs = 5000
maximum lag: 1 F( 1, 4998) = 1094.36
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
y | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
x | 1.034833 .0312818 33.08 0.000 .9735074 1.096159
_cons | .0296797 .0341419 0.87 0.385 -.0372533 .0966128
------------------------------------------------------------------------------
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Looking forward for any help!
Thank you very much!
Sincerely,
