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st: Newey West Information Criterion

From   Clive Bartholomew Walker <[email protected]>
To   [email protected]
Subject   st: Newey West Information Criterion
Date   Tue, 5 Oct 2010 09:49:30 +0100

Dear Statalisters

I'm running Stata 11.0 on Windows 7

Does anybody know how to run Information Criteria for lag length selection when running a regression with Newey West robust standard errors?

Thanks in advance

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