NEWEY2: Stata module to extend newey (HAC covariance estimation)

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NEWEY2: Stata module to extend newey (HAC covariance estimation)

Author Info

David Roodman () (Center for Global Development)

Additional information is available for the following registered author(s):

David Malin Roodman

Abstract

newey2 provides extensions to Stata's official newey. It accepts panel as well as time series data sets, and can instrument variables. For time series data without instruments, newey2 behaves the same as newey. The neweydmexog and neweyvif commands, included in this package, permit those commands to work after newey2.

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File URL: http://fmwww.bc.edu/repec/bocode/n/newey2.ado
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File URL: http://fmwww.bc.edu/repec/bocode/n/newey2_p.ado
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Publisher Info
Software component provided by Boston College Department of Economics in its series Statistical Software Components with number S428901.

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Programming language: Stata
Requires: Stata version 7.0
Date of creation: 21 Oct 2002
Date of revision: 07 Feb 2004
Handle: RePEc:boc:bocode:s428901

Note: This module may be installed from within Stata by typing "ssc install newey2". Windows users should not attempt to download these files with a web browser.
Contact details of provider:
Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Phone: 617-552-3670
Fax: +1-617-552-2308
Email:
Web page: http://fmwww.bc.edu/EC/
More information through EDIRC

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Web: http://repec.org/docs/ssc.php

For technical questions regarding this item, or to correct its listing, contact: (Christopher F Baum).

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This page was last updated on 2008-5-14.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.