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st: newey, by and nwest


From   yilmag@rpi.edu
To   statalist@hsphsun2.harvard.edu
Subject   st: newey, by and nwest
Date   Tue, 15 Nov 2011 19:44:35 -0500

Dear All,

Since newey/newey2 cannot be combined with by/bys, how can i run a model 
using newey based on group and time? Also, why do newey and nwest produce 
different standard errors when lags and all else are the same?

Thanks a lot!

Gokhan


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