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st: RE: Date: Tue, 15 Mar 2005 18:52:24 -0000


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: RE: Date: Tue, 15 Mar 2005 18:52:24 -0000
Date   Tue, 15 Mar 2005 22:11:12 -0000

Please don't send formatted text to Statalist 
Please do use sensible titles. These points, 
and other well-meant advice, are explained 
in the Statalist FAQ, the URL of which is 
at the bottom of every Statalist posting. 

There is a Newey-West command in Stata: its
help is accessible at -whelp newey- 
and there is more in the manuals at [TS] newey. 

Most of your other questions seem to require 
recourse to a standard text, at least in 
the first instance. 

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

Scott Goodall 

I am attempting to develop a model for my dissertation.
I would like to develop a very simple model with house prices 
as my left-hand side variable and rent, income, mortgage rent, 
and CPI as my right hand-side variables. I have collected my data, 
formatted my data (including putting several variables in real terms) 
and found that I have the best model available to me (in terms of 
ommited variables at least). I have come to the conclusion that my 
model has no ommitted variables and is normal, but does suffer from 
autocorrelation, heteroscedasticity, and multicollinearity. Is it true 
that I can correct for autocorrelation and heteroscedasticity using a 
Newey West test? If so, would you be so kind as to give me specific 
details of how to perform this test and how to interpret its results? 
Also, any other suggestions or help would be much appreciated. 

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