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re: RE: st: option bw() for ivreg2?

From   Christopher Baum <>
To   "" <>
Subject   re: RE: st: option bw() for ivreg2?
Date   Wed, 30 Jan 2013 12:24:19 +0000

Anja said

Lastly, when I try to run the model with newey instead of ivreg2 I get the message that time-variable is not regularly spaced. Indeed, there are occasionally days missing in my panel. But I do not get the message with ivreg2. Does this mean that ivreg2 is not sensitive to whether the time-variable is regularly spaced? Or is it still not appropriate to use ivreg2? In that case, what do you recommend when there are missing observations in the panel?

ivreg2 knows about panel data, so something like this will work fine if you specify a particular bw:

. webuse grunfeld

. ivreg2 invest (mvalue=L(1/2).kstock), robust bw(2)

-newey- assumes you have a single time series, so its complaint is really that your timeseries restarts for each firm.


Kit Baum   |   Boston College Economics & DIW Berlin   |
                             An Introduction to Stata Programming  |
  An Introduction to Modern Econometrics Using Stata  |

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