Kit Baum wrote:
> I believe all that you are seeing is that although -glm- knows how to
> compute a Newey-West covariance matrix, it does not know how to do so
> in the context of panel data. For that matter, neither does -newey-.
> David Roodman's -newey2- is better behaved---it works with panel
> data---but as Clive pointed out everything -newey2- can do, -ivreg2-
> can do (and then some).
>
> I am not familiar with the help on -glm-, but I imagine the manual
> entry nowhere claims that the 'nwest' suboption works in a panel
> context. Perhaps it should clearly state that this is so if it is the
> case.
I agree: -help glm- should be explicit about this if this is true. If it
is true, that's a real pity: the prospect of fitting models with
automatically logit-transformed variables was quite an enticing one.
CLIVE NICHOLAS |t: 0(044)7903 397793
Politics |e: [email protected]
Newcastle University |http://www.ncl.ac.uk/geps
Whereever you go and whatever you do, just remember this. No matter how
many like you, admire you, love you or adore you, the number of people
turning up to your funeral will be largely determined by local weather
conditions.
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