help nwind

Title

nwind -- Postestimation command for ivreg2

Syntax

nwind

if, in and cluster(varname) are used from the preceding regression.

Description

nwind calculates Newey and Windmeijer's SE for the continuously updated estimator (CUE).

Examples:

. ivreg2 y (x=z*) if female==1, cue robust

. nwind

Reference

Newey WK, Windmeijer F, 2009. Generalized method of moments with many weak moment conditions. Econometrica 77(3): 687-719.

Farbmacher, H., 2012. GMM with many weak moment conditions: Replication and application of Newey and Windmeijer (2009). Journal of Applied Econometrics 27(2): 343-346.

Author

Helmut Farbmacher

Munich Center for the Economics of Aging (MEA)

Max Planck Society, Germany

farbmacher@mea.mpisoc.mpg.de

Also see

Help: [R] ivreg2