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st: Re: Time variable not equally spaced


From   Kit Baum <baum@bc.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: Re: Time variable not equally spaced
Date   Wed, 13 Oct 2004 09:22:06 -0400

If you look at the formula underlying the Newey-West (HAC) estimator you will see that it makes little sense to apply it to non-equally-spaced time series.

Kit Baum, Boston College Economics
http://ideas.repec.org/e/pba1.html

On Oct 13, 2004, at 2:33 AM, Socrates wrote:



I want to run Newey2 but it cannot be done because the time variable is not regularly spaced. The force option is not useful either since I want to run a panel data regression. Can you please tell me how I amend the problem? And can you please explain what exactly does this mean?
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