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Re: st: -robust- of time series data

From   Eddy <[email protected]>
To   [email protected]
Subject   Re: st: -robust- of time series data
Date   Wed, 1 Oct 2003 19:58:58 -0700 (PDT)

Oh, now I wish Stata has the -newey- or -neweywest- option to the
maximum likelihood estimation (-ml model ....., newey-), just like it
has the -robust- option.


> Mark and Eddy,
>   Consider the Newey-West estimators if you want something robust 
> to both autocorrelation and heteroskedasticity. You merely have to
> specify the appropriate lag length in the newey regression 
> procedure.
>  Regards,
>  - Bob Yaffee

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