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


From   "Dominik Hennen" <dominik-hennen@gmx.de>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Fama-MacBeth standard errors with Newey-West corrections
Date   Thu, 07 Oct 2010 14:01:57 +0200

Hey guys,
I have found the fmregress command written by Antoni Gumila 
(http://www.antonisureda.com/blog/files/e97252ab450a76dbfbe3039a734939e7-7.php), which should correct MacBeth standard errors with the Newey Method. However it is without any kind of support in stata. Has anyone worked with this routine yet? Is it reliable?
Best regards and thanks a lot
Dominik
-------- Original-Nachricht --------
> Datum: Wed, 06 Oct 2010 22:40:14 +0200
> Von: "Dominik Hennen" <dominik-hennen@gmx.de>
> An: statalist@hsphsun2.harvard.edu
> Betreff: st: Fama-MacBeth standard errors with Newey-West corrections

> 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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