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st: Newey West Information Criterion


From   Clive Bartholomew Walker <clivewalker2003@yahoo.co.uk>
To   statalist@hsphsun2.harvard.edu
Subject   st: Newey West Information Criterion
Date   Tue, 5 Oct 2010 09:49:30 +0100

Dear Statalisters

I'm running Stata 11.0 on Windows 7

Does anybody know how to run Information Criteria for lag length selection when running a regression with Newey West robust standard errors?

Thanks in advance

Clive
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