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st: Re: stata question

From   Kit Baum <[email protected]>
To   Rose Zhao <[email protected]>
Subject   st: Re: stata question
Date   Tue, 17 Aug 2004 12:04:09 -0400


Suggest you use ivreg2 (findit ivreg2). It allows for a variety of HAC error treatments (one of which is the Bartlett kernel used by Newey-West), and works with panel data. If you want dummies (as in a FE model), you will have to provide your own (or do the demeaning previously). Please note that for HAC you must specify both robust and bw() options.

Best wishes
Kit Baum

On Aug 17, 2004, at 11:57 AM, Rose Zhao wrote:

Hi Chris,

I have a stata question and  I am wondering if you can help---

how can you run a regression on a time-serie cross-sectional dataset
(panel dataset) using Newey robust errors in stata? I can't get the
newey command to work.


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