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Re: st: Newey estimations


From   Allin Cottrell <cottrell@wfu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Newey estimations
Date   Wed, 2 Aug 2006 20:55:40 -0400 (EDT)

On Thu, 3 Aug 2006, Clive Nicholas wrote:

Does somebody knows what is the exactly procedure Stata
follows to test parameters under linear reg. with Newey-West
std. errors estimators?
Why use a wimpish, water-pistol version of OLS Newey-West in Stata when you can use a OLS Newey-West package that's chock-full with AK47s, Desert Eagles and Kalashnikovs? An example:
<snip>

Total (centered) SS     =  9359943.917
These 10-digit, "smart-bomb" results are verified using multiple-precision arithmetic, I trust?

Allin Cottrell
Wake Forest University
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