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st: Fama-MacBeth standard errors with Newey-West corrections


From   "Dominik Hennen" <dominik-hennen@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   st: Fama-MacBeth standard errors with Newey-West corrections
Date   Wed, 06 Oct 2010 22:40:14 +0200

Dear fellow research colleagues,
I am looking for a Stata command that creates Fama MacBeth standard errors which are corrected for autocorrelation. According to the literature the standard errors should be corrected via Newey-West. However, while I found the Stata command for the MacBeth approach (xtfmb-programmed by Daniel Hoechle), I couldn't identify a command that automatically corrects the MacBeth errors with Newey. Is anybody aware of such a command? If not, is there an easy work around for that issue?  
I would be very thankful for your help.
With best regards from Germany
Dominik
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