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st: How to correct for autocorrealation in system of equations


From   ABDUL ADAM <bihiabdul@yahoo.com>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: How to correct for autocorrealation in system of equations
Date   Thu, 30 Jun 2011 10:30:23 -0700 (PDT)

Dear List,
I am estimating an Almost Ideal Demand System in stata by using interactive nlsur. I found high dependency/autocorrelation of the error terms of my equations. 

I wanted to correct standard errors for both Heteroskedasticity and Autocorrelation (HAC). I can easily do this for single equations by using newey command, but couldnt figure out how to proceed in the case of system of equations. I have searched the net for solution in stata to no avail. I will appreciate any help.
Thanks,
Abdul

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