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


From   Anja Lambrecht <alambrecht@london.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   RE: RE: st: option bw() for ivreg2?
Date   Wed, 30 Jan 2013 12:28:39 +0000

Thanks Kit, that's great.
Anja

-----Original Message-----
From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-statalist@hsphsun2.harvard.edu] On Behalf Of Christopher Baum
Sent: 30 January 2013 12:24
To: statalist@hsphsun2.harvard.edu
Subject: re: RE: st: option bw() for ivreg2?

<>
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

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
                                                                                                   | http://www.crup.com.cn/Item/111779.aspx	


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