Alice,
> -----Original Message-----
> From: [email protected]
> [mailto:[email protected]] On Behalf Of Alice
> Sent: Wednesday, December 10, 2008 1:18 PM
> To: [email protected]
> Subject: st: Newey west
>
> Hi,
>
> I am trying to use the command -newey- using panel data and I
> include fixed effects. However this does not work (Stata
> tells me that my year variable is not regularly spaced).
>
> Any suggestions? What does the error message mean? My sample
> is however balanced over time so I have the same number of
> observations in each year.
It sounds like you have some gaps in your time series. I think -newey-
doesn't like gaps.
-xtivreg2- supports Newey-West SEs (also known as the Bartlett kernel)
with straight fixed effects panel data estimation and no endogenous
regressors, i.e., your case. It's available from ssc-archives in the
usual way, i.e.,
ssc install xtivreg2
You'll also need to install -ivreg2- and -ranktest- in the same way.
-ivreg2- supports the same estimation without fixed effects (-xtivreg2-
is basically a wrapper for -ivreg2-).
Hope this helps.
Cheers,
Mark (author/coauthor of xtivreg2, ivreg2, ranktest)
Prof. Mark E. Schaffer
Director
Centre for Economic Reform and Transformation
Department of Economics
School of Management & Languages
Heriot-Watt University
Edinburgh EH14 4AS UK
44-131-451-3494 direct
44-131-451-3296 fax
http://ideas.repec.org/e/psc51.html
>
> Thanks, Alice.
>
>
>
>
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>
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