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st: NW st. errors with -ivreg2-


From   Khabara <[email protected]>
To   [email protected]
Subject   st: NW st. errors with -ivreg2-
Date   Sun, 27 Mar 2011 11:09:58 -0700 (PDT)

Dear all,

I am trying to calculate NW st. errors using -ivreg2-.

I run the following 2 regressions:

*reg y x1 x2 x3 x4 x5

*predict fitted_y

*newey z fitted_y, lag(12)

and

*ivreg2 z (y =  x1 x2 x3 x4 x5), bw(13) robust

The problem is that HAC s.e.'s of the slope coefficient are appreciably
different in the two cases.

Any ideas why this is? Thank you!



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