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

David Roodman ()

Statistical Software Components from Boston College Department of Economics

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.

Language: Stata
Requires: Stata version 7.0
Keywords: HAC covariance estimation; time series; instrumental variables (search for similar items in EconPapers)
Date: 2002-10-21, Revised 2009-06-12
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.
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Handle: RePEc:boc:bocode:s428901