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Re: st: How can I compute Newey-West s.e. in t-test


From   "Rodrigo Alfaro" <raalfaroa@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: How can I compute Newey-West s.e. in t-test
Date   Tue, 17 Jul 2007 17:39:26 -0400

Hi Kartick,

You could use -newey- in Stata. I know that is running a regression,
but I don't see why that is not applicable to your case. For example,
you could run: newey ret_stock, Stata will assume that only a constant
is included, then it is the same as doing a t-test.

HTH, Rodrigo.


On 7/17/07, Kartick Gupta <KARTICK@mngt.waikato.ac.nz> wrote:
Hello all,
Just wondering if it is possible to calculate Newey-West standard error in t-test?

In my study, the data consist of monthly stock returns and I want to test whether they are significantly different from zero.

I have checked stata function and it is available only when we run regression, which is not applicable in my case.

Thanks for your help in advance.

Regards
Kartick



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