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Re: st: Panel data newey-west test statistic
From
Sami Alameen <[email protected]>
To
[email protected]
Subject
Re: st: Panel data newey-west test statistic
Date
Wed, 25 Jan 2012 02:20:42 +0200
You have many choices, I will list some of them
1.
net install newey2, replace
use grunfeld
xi: newey2 invest kstock mvalue i.company i.year, lag(1)
i.company & i.year Are for cross-section & year effects respectively
2.
you can also use (for other procedures that deal with hetero and/or
correlated errors)
a.
net install xtscc, replace
help xtscc
b.
Stata standard commands of xtgls, xtpcse & xtregar
see their help files
Good luck
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