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re: st: NW st. errors with -ivreg2-
From
Kit Baum <[email protected]>
To
[email protected]
Subject
re: st: NW st. errors with -ivreg2-
Date
Sun, 27 Mar 2011 19:44:13 -0400
<>
I run the following 2 regressions:
*reg y x1 x2 x3 x4 x5
*predict fitted_y
*newey z fitted_y, lag(12)
and
*ivreg2 z (y = x1 x2 x3 x4 x5), bw(13) robust
The problem is that HAC s.e.'s of the slope coefficient are appreciably
different in the two cases.
These are different models in terms of how the VCE is calculated. The SEs from the two stage 'by hand' will not be correct in any case, as they are calculated with the wrong residuals. Also note that your -ivreg2- (from SSC) has a 'small' option that will yield different standard errors than the large-sample standard errors you will get from the above command.
Kit Baum
[email protected]
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