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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