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st: ivreg2 bandwidth

From   Mirko <>
Subject   st: ivreg2 bandwidth
Date   Thu, 13 Oct 2011 15:20:41 +0100

Dear all,

I am estimating a times-series equation where the dependent variable
and the endogenous variable are 3-day moving averages.

I am using -ivreg2- with -gmm2s- and -robust- to obtain
heteroskedasticity and autocorrelation-robust standard errors such as

qui count
local band = round(r(N)^1/3)
ivreg2 y x1 (x2=  z1 z2), gmm2s robust bw(`band') first

I am not sure about the correct bandwidth specification in this
specific case as I am using moving averages. For a Bartlett kernel
function, it is usually suggested to use N^1/3. However, I am not sure
whether this is correct specification when using moving averages.

I would be grateful to receive any suggestion.

Best wishes,
Mirko Moro
Lecturer in Economics
Economics Division
University of Stirling
Scotland (UK)
t: +44(0)1786467479
f: +44(0)1786467469

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