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


From   "Kartick Gupta" <KARTICK@mngt.waikato.ac.nz>
To   <statalist@hsphsun2.harvard.edu>
Subject   Re: st: How can I compute Newey-West s.e. in t-test
Date   Wed, 18 Jul 2007 10:44:45 +1200

Hello Rodrigo,
It works. Thanks for your help.
Do you know if Stata can automatically pick up lag length for Newey-West test? Currently, we have to specify how many lags to be included in Newey-West.

Regards
Kartick


>>> "Rodrigo Alfaro" <raalfaroa@gmail.com> 18/07/2007 9:39 a.m. >>>
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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