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st: HAC SE in high dimensional regression


From   Diana Salvia <diana.salvia@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: HAC SE in high dimensional regression
Date   Sun, 5 Jun 2011 09:18:11 -0700 (PDT)

Hi


I am trying to run a regression with a large number of independent variables (approximately 8,000 dummies) and would like to compute SE corrected for heteroskedasticity and serial correlation. However, I only need corrected SE for five of my independent variables (I am not interested on the SE of the dummies). Using the command newey is not an option because it will literally take years to run (I only need SE for five and not for all of my independent variables).

I would really appreciate your help! 

thanks

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