English, Article edition: NEWEY2: Stata module to extend newey (HAC covariance estimation) David Roodman

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Bookmark: http://trove.nla.gov.au/version/175310
Physical Description
  • code
Language
  • English

Edition details

Title
  • NEWEY2: Stata module to extend newey (HAC covariance estimation)
Author
  • David Roodman
Physical Description
  • code
Notes
  • 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.
  • HAC covariance estimation, time series, instrumental variables
  • RePEc:boc:bocode:s428901
Language
  • English
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