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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/