Thanks a lot. I will look into it.
How about putting the dummies myself and then using newey2?
Thank you again.
Sams
Quoting "Schaffer, Mark E" <[email protected]>:
> Or -xtivreg2-, which has a Newey-West option as well as other
> kernel-robust vcv estimators and will work with models in which there
> are no endogenous regressors.
>
> But bear in mind (a) these kernel-robust approaches to serial
> correlation (usually) need the T in an NT panel to go off to infinity
> for the asymptotics to work, whereas most panels in practice are small-T
> large-N panels; and (b) the -cluster- option for -xtreg,fe- or
> -xtreg,re- (or -xtivreg2- for that matter) gives results that are
> consistent in the presence of arbitrary serial correlation. -cluster-
> may be the simplest answer.
>
> --Mark
>
>
> > -----Original Message-----
> > From: [email protected]
> > [mailto:[email protected]] On Behalf Of
> > Stas Kolenikov
> > Sent: 09 April 2007 14:43
> > To: [email protected]
> > Subject: Re: st: pls help! correcting serial correlation in
> > fixed effect model
> >
> > You can look at -xtdata, fe- transformation, and then run -newey,
> > nocons- on it. The help file for -newey2- says it does run
> > with panel data, although, as far as I can recall, there
> > might be some issues with running it that way.
> >
> > On 4/9/07, [email protected] <[email protected]> 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?
> >
> > --
> > Stas Kolenikov
> > http://stas.kolenikov.name
> > *
> > * For searches and help try:
> > * http://www.stata.com/support/faqs/res/findit.html
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
> >
>
> *
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> * http://www.stata.com/support/statalist/faq
> * http://www.ats.ucla.edu/stat/stata/
>
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