Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
| From | Christopher Baum <kit.baum@bc.edu> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Choice of bw() in ivreg2 |
| Date | Tue, 26 Apr 2011 10:38:18 -0400 |
<>
On Apr 26, 2011, at 2:33 AM, Luciano wrote:
> How do I choose the bandwith (bw()) option in ivreg2?
> There's evidence of autocorrelation in the disturbances of 17th order.
> Then is 17 a good candidate?
The bw() should be one more than the lag order that you would use in -newey-, so probably 18 in your example. -ivreg2- from SSC also supports automatic bw selection, so you might try that option and see what it chooses.
Kit
coauthor ivreg2
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
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/