Dear Tirthankar,
Thank you for your reply.
I take the following results for example.
webuse invest2,clear
tsset company time
. nwest reg invest stock, lag(1) force
Regression with Newey-West standard errors Number of obs = 100
maximum lag : 1 F( 1, 98) = 134.30
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
stock | .5511169 .0475563 11.59 0.000 .456743 .6454908
_cons | 77.52273 18.27758 4.24 0.000 41.25146 113.794
------------------------------------------------------------------------------
. nwest reg invest stock, lag(1) force
Regression with Newey-West standard errors Number of obs = 100
maximum lag : 1 F( 1, 98) = 121.54
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
stock | .5511169 .0499894 11.02 0.000 .4519146 .6503192
_cons | 77.52273 18.85912 4.11 0.000 40.09742 114.948
------------------------------------------------------------------------------
. newey invest stock, lag(1) force
Regression with Newey-West standard errors Number of obs = 100
maximum lag: 1 F( 1, 98) = 78.16
Prob > F = 0.0000
------------------------------------------------------------------------------
| Newey-West
invest | Coef. Std. Err. t P>|t| [95% Conf. Interval]
-------------+----------------------------------------------------------------
stock | .5511169 .062339 8.84 0.000 .4274072 .6748265
_cons | 77.52273 25.82577 3.00 0.003 26.27233 128.7731
------------------------------------------------------------------------------
.
----- Original Message -----
From: Tirthankar Chakravarty <[email protected]>
To: [email protected]
Subject: Re: st: what is the difference between newey and nwest?
Date: 2009-7-31 19:14:43
I am unable to reproduce your problem. Note that -nwest- is
user-contributed (STB); James Hardin wrote it.
***********
webuse idle2, clear
tsset time
newey usr idle, lag(3)
nwest reg usr idle, lag(3)
************
Maybe you can provide a minimal reproducible example?
T
*
* 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/
