Oh, now I wish Stata has the -newey- or -neweywest- option to the
maximum likelihood estimation (-ml model ....., newey-), just like it
has the -robust- option.
Eddy
> Mark and Eddy,
> Consider the Newey-West estimators if you want something robust
> to both autocorrelation and heteroskedasticity. You merely have to
> specify the appropriate lag length in the newey regression
> procedure.
> Regards,
> - Bob Yaffee
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