Kit,
Thanks for introducing me to ivregress and ivreg2 for use in newey
west estimation. I was unfamiliar with both commands. I confirmed
they run just as you indicated with both the examples Michael Hanson
provided as well as the questions from my original post. No problems
with either time series commands or gaps.
Is the translation between newey west lags and bartlett kernel
bandwidth simply bandwidth = lags +1 as it appears? I was unsure from
the ivreg2 help file. Thanks again.
Tom
On Sat, Oct 11, 2008 at 3:07 PM, Kit Baum <[email protected]> wrote:
> < >
> Re Michael Hanson's comments on David Roodman's -newey2-: David has on more
> than one occasion suggested that those wanting to calculate Newey-West
> standard errors in an OLS regression should just use -ivreg2- of Baum,
> Schaffer, Stillman. Despite its name it is happy to estimate OLS models
> without any instruments, and it can estimate Newey-West standard errors as
> well as a variety of other HAC models. E.g.
>
> ivreg2 irx t, robust bw(9)
>
> Notice that it reports the presence of gaps but does not choke on them.
> -ivreg2- requires Stata 9.2.
>
> In fact, contradictory to its syntax diagram, -ivregress- can do this as
> well. The -ivregress- syntax states that the (varlist2 = varlist_iv)
> component is mandatory, but the program does not enforce this:
>
> ivregress 2sls irx t, vce(hac bartlett 8)
>
> works, making no mention of gaps. -ivregress- requires Stata 10.
>
> Kit Baum, Boston College Economics and DIW Berlin
> http://ideas.repec.org/e/pba1.html
> An Introduction to Modern Econometrics Using Stata:
> http://www.stata-press.com/books/imeus.html
>
>
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>
--
Thomas Jacobs
*
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