Re: st: Newey west

[Jared DeLisle <rjd1867@fsu.edu>]

I've had this problem when I have panel data of firms over time (say 
monthly data), and there is one month missing from the sample.  I get 
around the problem in the following manner.  Say the firm variable is 
"firm" and the monthly time variable is "date".  Then:

egen date_count=group(date)
tsset firm date_count

This creates a continuous variable for the date with no skips.  Keep in 
mind I'm a novice myself, so there may be a better way, but this works 
for me.

Jared

Alice wrote:
> Hi,
>
> I am trying to use the command -newey- using panel data and I include fixed effects. However this does not work (Stata tells me that my year variable is not regularly spaced).
>
> Any suggestions? What does the error message mean? My sample is however balanced over time so I have the same number of observations in each year.
>
> Thanks, Alice.
>
>
>       
>
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