Re: st: Newey west

[Michael Hanson <mshanson@mac.com>]

Discussion of this error message with -newey- comes up from time to  
time on Statalist:  search the archives for more.  There are multiple  
reasons why this error may arise.  Alice does not provide enough  
information to know for sure, but I suspect that her problem is  
either that the sample that is used in her estimation actually is not  
balanced (even if the overall sample may be), or the time interval  
between her date variables is not constant (even if the estimation  
sample is balanced).  For example, a balanced panel with annual  
observations that skips a year will (rightly) throw up that error  
with -newey-.  Jared's proposed solution will "solve" this problem  
from a computational perspective, but it arguably is not valid from  
an inferential one (although that conclusion depends on unstated  
details about the data structure and the research question).

For additional discussion on this topic recently, see, e.g.,:

<http://www.stata.com/statalist/archive/2008-10/msg00621.html>
<http://www.stata.com/statalist/archive/2008-10/msg00702.html>

Hope this helps,
Mike


On Dec 10, 2008, at 9:12 AM, Jared DeLisle wrote:

> 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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>
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