Transcription of newey — Regression with Newey–West standard errors
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newey — Regression with Newey–West standard errors
Regression with newey West standard errorsSyntaxMenuDescriptionOptionsRemark s and examplesStored resultsMethods and formulasReferencesAlso seeSyntaxneweydepvar[indepvars] [if] [in] [weight], lag(#)[options]optionsDescriptionModel lag(#)set maximum lag order of autocorrelationnoconstantsuppress constant termReportinglevel(#)set confidence level; default islevel(95)displayoptionscontrol column formats, row spacing, line width, display of omittedvariables and base and empty cells, and factor-variable labelingcoeflegenddisplay legend instead of statistics lag(#)is musttssetyour data before usingnewey; see [TS] contain factor variables; see[U] Factor contain time-series operators; see[U] Time-series ,rolling, andstatsbyare allowed; see[U] Prefix are allowed; see[U] not appear in the dialog [U] 20 Estimation and postestimation commandsfor more capabilities of estimation >Time series> Regression with newey -West std.
OLS = (X 0X) 1X0y Var(d b OLS) = (X 0X) 1X0 bX(X0X) 1 That is, the coefficient estimates are simply those of OLS linear regression. For lag(0) (no autocorrelation), the variance estimates are calculated using the White formulation: X0b X = X0 b 0X = n n k X i be2 i x 0x i Here be i = y i x i b OLS, where x i is the ith row of the X matrix, n ...
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