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RE: st: Newey west


From   "Nick Cox" <n.j.cox@durham.ac.uk>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Newey west
Date   Wed, 10 Dec 2008 17:33:07 -0000

This is more than just a computational trick. It amounts to saying that all time steps between data points are to be treated as equal. Whether the context is environment, economy, society, medicine or astrology, that is going to be _wrong_ to a greater or lesser extent. 

Thus to put it very simply times 1, 3, 4 (say) are mapped to 1, 2, 3 and the time step of 2 is to be treated as exactly equivalent to the time step of 1. That is what your trick implies. 

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

Jared DeLisle

I've had this problem when I have panel data of firms over time (say 
monthly data), and there is one month missing from the sample.  I get 
around the problem in the following manner.  Say the firm variable is 
"firm" and the monthly time variable is "date".  Then:

egen date_count=group(date)
tsset firm date_count

This creates a continuous variable for the date with no skips.  Keep in 
mind I'm a novice myself, so there may be a better way, but this works 
for me.

Alice wrote:

> I am trying to use the command -newey- using panel data and I include fixed effects. However this does not work (Stata tells me that my year variable is not regularly spaced).
>
> Any suggestions? What does the error message mean? My sample is however balanced over time so I have the same number of observations in each year.

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