Jean Salvati replied to Giovanni Vecchi:
> Estimating the regression with leads and lags using newey or newey2 will
> give you the version of DOLS with Newey-West standard errors. That's all
> there is to it.
>
> Other versions of DOLS with alternative variance adjustments require
> more work.
Another, perhaps better, option to get the same thing is to use Baum,
Schaffer and Stillman's -ivreg2- package, downloadable from SSC. Using
. ivreg2 y x L.y F.y, bw(2) robust
will give Giovanni what he wants in one line: lags (L), leads (F) and the
two options combined, which give OLS Newey-West standard errors. Much more
model-fit statistics are available with -ivreg2- than -newey- or -newey2-
as well. Hope this helps.
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