Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: How to determine bandwidth in ivreg2?
From
ling jin <[email protected]>
To
[email protected]
Subject
st: How to determine bandwidth in ivreg2?
Date
Sun, 26 Jun 2011 14:42:12 +0800
Dear Statalisters,
I use "bw(#)" combined with "robust" in the command "ivreg2" to
address heteroskedasticity and autocorrelation. What's the criteria to
determine bandwidth?
A simple note for the choice of bandwidth I've read is "T^(1/3)" in
Baum, Schaffer and Stillman (2007). Do you know why? Is the rule used
pervasively?
Thank you so much!
Best,
Lily
Reference:
Baum, Schaffer and Stillman (2007): Enhanced Routines for Instrumental
Variables/GMM Estimation and Testing
*
* 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/