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From | Kit Baum <baum@bc.edu> |
To | statalist@hsphsun2.harvard.edu |
Subject | st: re: newey, F |
Date | Fri, 19 Mar 2010 12:40:22 -0400 |
<> I looked at that first, and I must be missing something really obvious because I could not find an option for Newey-West standard error in xtivreg2. (ivreg2 has that option, but I could not figure out how to use ivreg2 to give me pooled panel estimates). xtivreg2 is just a wrapper for ivreg2, and almost all ivreg2 options are available in xtivreg2. I suggest you use the options gmm2s robust bw(?) where you specify the appropriate bandwidth (generally one more than lags() in newey) Note that auto bandwidth selection is not available in xtivreg2. Kit Baum | Boston College Economics & DIW Berlin | http://ideas.repec.org/e/pba1.html An Introduction to Stata Programming | http://www.stata-press.com/books/isp.html An Introduction to Modern Econometrics Using Stata | http://www.stata-press.com/books/imeus.html * * 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/