< >
Yes. Bartlett kernel BW = lags + 1. From the help file:
Note: in the cases of the Bartlett, Parzen, and Tukey-Hanning/
Hamming kernels, the number of lags used to
construct the kernel estimate equals the bandwidth minus one.
Stata's official newey implements HAC
standard errors based on the Bartlett kernel, and requires the
user to specify the maximum number of lags
used and not the bandwidth; see help newey. If these kernels are
used with bw(1), no lags are used and
ivreg2 will report the usual Eicker/Huber/White/sandwich variance
estimates.
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
On Oct 14, 2008, at 02:33 , Tom wrote:
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.
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
