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help for ^nwest^                                            (STB-39: sg72)
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Regression models with Newey-West standard errors
-------------------------------------------------

    ^nwest^ ^command^ depvar [varlist] [^if^ exp] [^in^ range]
        [^,^ ^lag(^#^)^ ^t(^varname^)^ ^force^ ^l^evel^(^#^)^ opts]


^command^ is one of

	^regress^       ^logit^       ^probit^       ^poisson^

^nwest^ shares the features of all estimation commands; see help @est@.

To reset problem-size limits; see help @matsize@.


Description
-----------

^nwest^ produces Newey-West standard errors for coefficients estimated by OLS
regression.  The error structure is assumed to be heteroscedastic and possibly
autocorrelated up to some lag (autocorrelation is of unknown structure).

Note that if ^lag(0)^ is specified, the variance estimates produced by ^newey^
are simply the Huber/White/sandwich robust variance estimates as calculated 
using the ^robust^ with the individual commands; see help @regress@, @logit@,
@probit@, or @poisson@.


Options
-------

^lag(^#^)^ specifies the maximum lag to consider in the autocorrelation 
    structure.  If you specify ^lag()^>0, then you must also specify 
    option ^t()^ (the default is zero).

^t(^varname^)^ specifies the variable recording the time of each observation.
    varname must record values indicating the observations are equally spaced
    in time or you must also specify ^force^.

^force^ specifies estimation is to be forced even though ^t()^ shows the data not
    to be equally spaced.  ^nwest^ will estimate the model assuming the lags
    based on the data ordered by ^t()^ are appropriate.

^level(^#^)^ specifies the confidence level, in percent, for the confidence
    intervals; see help @level@.

^opts^ are other options allowed by the individual commands.

Example
-------

	. ^nwest regress usr idel sysv, lag(3) t(time)^
        . ^nwest logit foreign price weight displ, lag(0)^
	. ^nwest poisson events age history gender, lag(2) t(t0) eform^
	. ^nwest probit union area tenure educ married, lag(4) t(year)^


Author
------

     James W. Hardin
     Stata Corp.
     Fax: 409-696-4601, 
     email: stata@@stata.com


Also see
--------

    STB:  STB-39 sg72
 Manual:  [U] 26 Estimation and post-estimation commands
          [U] 35 Overview of model estimation
	  [R] newey
On-line:  help for @est@, @lincom@, @linktest@, @test@, @testnl@, 
                   @vce@, @matsize@;
                   @regress@, @svyreg@, @xtgls@