st: Re: stata question

[Kit Baum <baum@bc.edu>]

Rose,

Suggest you use ivreg2 (findit ivreg2). It allows for a variety of HAC 
error treatments (one of which is the Bartlett kernel used by 
Newey-West), and works with panel data. If you want dummies (as in a FE 
model), you will have to provide your own (or do the demeaning 
previously). Please note that for HAC you must specify both robust and 
bw() options.

Best wishes
Kit Baum

On Aug 17, 2004, at 11:57 AM, Rose Zhao wrote:


> Hi Chris,
>
> I have a stata question and  I am wondering if you can help---
>
> how can you run a regression on a time-serie cross-sectional dataset
> (panel dataset) using Newey robust errors in stata? I can't get the
> newey command to work.
>
> Thanks,
>
> --
> Rose
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