st: Re: newey2 v ivreg2 (corr)

[Kit Baum <baum@bc.edu>]

Indeed it can be confusing! Mark is absolutely right--you should ADD 
one to bw(), which starts counting from zero, to match lags(). Sorry 
for the added confusion!

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

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


> The "bandwidth" (bw) option with ivreg2 doesn't have the same meaning 
> as the
> "lag" option in newey2 (or newey2).  In your ivreg2 example, try bw(7).
> FYI, we did it this way because ivreg2 implements a number of other 
> kernels
> besides the Bartlett (=Newey-West) kernel, and "bandwidth" is the right
> general term.  I admit it can confusing, though.
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