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Re: st: Re: -newey2- vs. -ivreg2-


From   "Clive Nicholas" <[email protected]>
To   [email protected]
Subject   Re: st: Re: -newey2- vs. -ivreg2-
Date   Fri, 14 Jan 2005 01:56:47 -0000 (GMT)

Mark Schaffer replied:

> Try adding the -robust- option to ivreg2.  I think the problem is
> that you are requesting from ivreg2 standard errors that are robust
> to autocorrelation but not heteroskedasticity.  ivreg2 can provide
> standard errors with and without heteroskedasticity-robustness, but
> newey and newey2 standard errors are always the robust type.

Using the -garmit- data again:

. tsset nation year
       panel variable:  nation, 1 to 18
        time variable:  year, 1961 to 1994

. newey2 growthpc trade fdi unem left spend captax labtax, lag(1)

Regression with Newey-West standard errors        Number of obs  =       352
maximum lag : 1                                   F(  7,   344)  =      4.89
                                                  Prob > F       =    0.0000
----------------------------------------------------------------------------
           |             Newey-West
  growthpc |      Coef.   Std. Err.      t    P>|t|     [95% Conf. Interval]
-----------+----------------------------------------------------------------
     trade |   .0051762   .0063955     0.81   0.419     -.007403    .0177555
       fdi |   .1112711   .1114347     1.00   0.319     -.107908    .3304503
      unem |  -.0917037   .0489144    -1.87   0.062    -.1879127    .0045053
      left |  -.0011842   .0035009    -0.34   0.735    -.0080701    .0057017
     spend |  -.0295982   .0455134    -0.65   0.516    -.1191177    .0599213
    captax |  -.0620164   .0155124    -4.00   0.000    -.0925275   -.0315053
    labtax |  -.0282463   .0348024    -0.81   0.418    -.0966986    .0402061
     _cons |   6.832187   .9175741     7.45   0.000     5.027425    8.636949
----------------------------------------------------------------------------

. ivreg2 growthpc trade fdi unem left spend captax labtax, bw(2) robust

OLS regression with robust standard errors
------------------------------------------
Heteroskedasticity and autocorrelation-consistent statistics
  kernel=Bartlett; bandwidth=2
  time variable (t):  year
  group variable (i): nation
                                                    Number of obs =      352
                                                    F(  7,   344) =     4.89
                                                    Prob > F      =   0.0000
Total (centered) SS     =  2042.961127              Centered R2   =   0.1708
Total (uncentered) SS   =  4004.310028              Uncentered R2 =   0.5769
Residual SS             =  1694.045908              Root MSE      =      2.2
----------------------------------------------------------------------------
           |               Robust
  growthpc |      Coef.   Std. Err.      z    P>|z|     [95% Conf. Interval]
-----------+----------------------------------------------------------------
     trade |   .0051762   .0063224     0.82   0.413    -.0072155    .0175679
       fdi |   .1112711   .1101611     1.01   0.312    -.1046407    .3271829
      unem |  -.0917037   .0483554    -1.90   0.058    -.1864785    .0030711
      left |  -.0011842   .0034609    -0.34   0.732    -.0079675     .005599
     spend |  -.0295982   .0449932    -0.66   0.511    -.1177832    .0585868
    captax |  -.0620164   .0153351    -4.04   0.000    -.0920726   -.0319602
    labtax |  -.0282463   .0344047    -0.82   0.412    -.0956781    .0391856
     _cons |   6.832187   .9070872     7.53   0.000     5.054329    8.610045
----------------------------------------------------------------------------

Despite Mark's suggestion, I'm still getting different standard errors
(remember also that this isn't my data!). I'm completely out of ideas as
to what to do here.

Another, seperate query about -ivreg2- follows shortly.

CLIVE NICHOLAS        |t: 0(044)7903 397793
Politics              |e: [email protected]
Newcastle University  |http://www.ncl.ac.uk/geps

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