I am unable to reproduce your problem. Note that -nwest- is
user-contributed (STB); James Hardin wrote it.
***********
webuse idle2, clear
tsset time
newey usr idle, lag(3)
nwest reg usr idle, lag(3)
************
Maybe you can provide a minimal reproducible example?
T
2009/7/31 <[email protected]>:
> -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
> ------------------------------------------------------------------------------
>
> .
>
> Looking forward for any help!
>
> Thank you very much!
>
> Sincerely,
> From Rose.
>
> *
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>
--
To every ω-consistent recursive class κ of formulae there correspond
recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
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