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

Author

Listed:
  • David Roodman

    (Center for Global Development)

Programming Language

Stata

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.

Suggested Citation

  • David Roodman, 2002. "NEWEY2: Stata module to extend newey (HAC covariance estimation)," Statistical Software Components S428901, Boston College Department of Economics, revised 12 Jun 2009.
  • Handle: RePEc:boc:bocode:s428901
    Note: This module may be installed from within Stata by typing "ssc install newey2". The module is made available under terms of the GPL v3 (https://www.gnu.org/licenses/gpl-3.0.txt). Windows users should not attempt to download these files with a web browser.
    as

    Download full text from publisher

    File URL: http://fmwww.bc.edu/repec/bocode/n/newey2.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/newey2.hlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/newey2_p.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/neweydmexog.ado
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/neweydmexog.hlp
    File Function: help file
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/neweyvif.ado
    File Function: program code
    Download Restriction: no

    File URL: http://fmwww.bc.edu/repec/bocode/n/neweyvif.hlp
    File Function: help file
    Download Restriction: no
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