Thanks to Kit Baum who has just put a command I made called newey2 in the SSC archive. The code for this command is based heavily on that for ivreg and newey. It can be accessed by typing "net search newey2" in Stata. From the description:
"newey2 provides extensions to Stata's official newey. It accepts panel as well as time series data sets, and can instrument variables. For time series data without instruments, newey2
behaves the same as newey."
Also included are slightly tweaked versions of vif and dmexog, called neweyvif and neweydmexog, which work after newey and newey2, as appropriate.
Comments welcome.
--David Roodman
Center for Global Development
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