st: Re: Time variable not equally spaced

[Kit Baum <baum@bc.edu>]

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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