Re: -vce(hac)- options in -regress-? [was: st: re: Troubleshooting 'not sorted' and 'not regularly spaced' errors]

[Michael Hanson <mshanson@mac.com>]

 .	

Kit's answer raises a question I have wondered about since the  
introduction of -ivregress- in Stata 10: could the -vce()- options of  
-ivregress- also be incorporated into -regress- itself (and other  
commands where appropriate)?  In that case, -reg y x, vce(hac nw  
opt)- (for example) would be a very convenient way to estimate OLS  
with HAC standard errors (with the bandwidth "optimally" chosen).   
Such a command would supercede (and thus deprecate) both -newey  
(official Stata) and -newey2- (which Kit's message indicated has  
already been deprecated by its author).  Unifying the handling of  
variance estimators across a broad class of estimators would seem to  
be not just convenient but add some currently missing functionality  
(as the example above indicates), as well as impose some consistency  
that would benefit new and occasional Stata users.

Just a thought -- and a hopeful request that such a feature will make  
its way into the next update to Stata 10.1 (or, if necessary, 10.2).

Thanks,
Mike

On Oct 11, 2008, at 4:07 PM, Kit Baum 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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