st: Re: newey2 v ivreg2

[Kit Baum <baum@bc.edu>]

No; bw(6) does not mean the same thing as lag(6). Try bw(5) [see ivreg2 
help].

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Jan 11, 2005, at 2:33 AM, Jonathan wrote:


> .ivreg2 y x1 x2 (x3=z), bw(6) robust
>
> would have generated the same standard errors as:
>
> .ivreg y x1 x2 (x3=z)
> .newey2 y x1 x2 (x3=z), lag(6) t(time)
>
> but when I tried it on a sample data set the two
> generated different sets of s.e. Any ideas?
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