RE: st: re: newey, F

[Rodolphe Desbordes <rodolphe.desbordes@strath.ac.uk>]

Richard,

As Kit said, -xtivreg2- is a wrapper for -ivreg2-. You can use the latter to obtain "pooled" estimates.

Rodolphe
________________________________________
From: owner-statalist@hsphsun2.harvard.edu [owner-statalist@hsphsun2.harvard.edu] On Behalf Of richard boylan [richardtb25@gmail.com]
Sent: 19 March 2010 18:25
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: re: newey, F

Thanks. Is there any way to use xtivreg2 to obtain pooled estimates?

I.e., without using fe or fd?

"error - must specify either fe or fd option
invalid syntax"


On Fri, Mar 19, 2010 at 11:40 AM, Kit Baum <baum@bc.edu> wrote:
> <>
> I looked at that first, and I must be missing something really obvious
> because I could not find an option for Newey-West standard error in
> xtivreg2.
>
> (ivreg2 has that option, but I could not figure out how to use ivreg2
> to give me pooled panel estimates).
>
>
> xtivreg2 is just a wrapper for ivreg2, and almost all ivreg2 options are available in xtivreg2. I suggest you use the options
>
> gmm2s robust bw(?)
>
> where you specify the appropriate bandwidth (generally one more than lags() in newey)
>
> Note that auto bandwidth selection is not available in xtivreg2.
>
> Kit Baum   |   Boston College Economics & DIW Berlin   |   http://ideas.repec.org/e/pba1.html
>                              An Introduction to Stata Programming  |   http://www.stata-press.com/books/isp.html
>   An Introduction to Modern Econometrics Using Stata  |   http://www.stata-press.com/books/imeus.html
>
>
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