///
Todd,
It is not a particular issue of newey2, it is
how std error are computed with IV estimators
(also R2 and F-stat). For example:
sysuse auto
ivreg price (mpg = trunk weight length)
reg mpg trunk weight length
predict yhat
reg price yhat
You should take a look of IV estimators.
Rodrigo.
-----Mensaje original-----
De: [email protected] [mailto:[email protected]] En nombre de Todd D. Kendall
Enviado el: Mi�rcoles, 25 de Junio de 2008 06:00 p.m.
Para: [email protected]
Asunto: st: newey2 and first-stage results
I have learned a lot from reading Statlist -- thanks to everyone who writes and answers questions. Now I have a question of my own, and I haven't been able to find anything in the archives so far.
I am trying to figure out just what newey2 does with instruments.
When I specify
. newey2 y (x1 =z1) x2, lag(1) first
STATA gives me just the first-stage results I would expect -- in fact, I can replicate these first stage results with
. reg x1 z1 x2
However, if I try taking the predicted values from this first stage:
. predict x1hat
and "manually" running the IV results:
. newey y x1hat x2, lag(1)
I get the right coefficients (obviously), but the wrong standard errors. I surmise that newey2 must be doing something special with the part of the covariance matrix associated with the first-stage fitted values. I have tried to read through the newey2 ado file, but can't see exactly what's going on.
I'd appreciate any thoughts from anyone who understands newey2 better than I.
Thanks,
Todd
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