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". 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.
References: Add references at CitEc
Citations:

Downloads: (external link)
http://fmwww.bc.edu/repec/bocode/n/newey2.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/newey2.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/n/newey2_p.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/neweydmexog.ado help file (text/plain)
http://fmwww.bc.edu/repec/bocode/n/neweydmexog.hlp help file (text/plain)
http://fmwww.bc.edu/repec/bocode/n/neweyvif.ado program code (text/plain)
http://fmwww.bc.edu/repec/bocode/n/neweyvif.hlp help file (text/plain)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:s428901

Ordering information: This software item can be ordered from
http://repec.org/docs/ssc.php

Access Statistics for this software item

More software in Statistical Software Components from Boston College Department of Economics Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F Baum ().