You understand correctly: -newey2- does not implement panel models such as fixed or random effects (as clearly stated in the help).
I usually take a look at
http://www.kellogg.northwestern.edu/faculty/petersen/htm/papers/se/se_programming.htm
about how to correct the standard errors in panel data analysis.
The idea is to cluster by the id variable.
Nicola
At 02.33 09/04/2007 -0400, you wrote:
>Hi
>I have sent a question but did not get any answer. I need to correct serial
>correlation in fixed effect model. as far as I understand newey2 cannot work
>in fixed or random effect model. Is it right? Is there any command in stata to
>correct for serial correlation in stata?
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