Saturday, March 11, 2006

st: {RE: [problem with Newey-West standard errors]

Please use an informative title for your posting.

The report is in effect "it doesn't work" which is usually impossible to comment on, but more can be said in this case.

I note in passing that you indicate, presumably schematically, that you typed

newey indepvar depvar, lag(4) force

However, the dependent variable would be named first.

On the key question, you can't have it both ways. It's as simple as that. -newey- won't function without a prior -tsset- and you can't -tsset- your data in terms of just a time variable, as it will detect repeated values, unless you happen to have panel data for which at most one member is recorded for each time point.

If your question makes theoretical sense, and on that I can't comment, then the only way to do this with Stata would appear to be by writing your own program.

Nick n.j.cox@durham.ac.uk

Christine Dwane > 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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