Friday, March 10, 2006

I need to have newey west standard errors, not in a panel data context (i.e. setting the time and panel variables with "sort" and "tsset" commands), but with a pooled ols estimator.

So I try to do this by reading in the panel data set without setting the time variable using tsset. I tried to use the command "newey indepvar depvar, lag(4) force" but it won't work and I was just wondering if there is another way to get the newey s.e. with this,

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