<>
Thank you for your reply. I see your problem now. This is intriguing -
it seems to arise from the use of the -force- option. I will try to
see if I can spot the problem, but maybe it is better to work with
official -newey- rather than -nwest- which was written in 1997. You
may also choose to inspect the source code yourself by
*****
viewsource nwest.ado
viewsource _newey.ado
*****
T
2009/7/31 <[email protected]>:
> 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
>
> *
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> * http://www.ats.ucla.edu/stat/stata/
>
--
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recursive class signs r, such that neither v Gen r nor Neg(v Gen r)
belongs to Flg(κ) (where v is the free variable of r).
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