newey.hlp

是一个经济学管理应用软件 很难找的 但是经济学学生又必须用到

{smcl}
{* 08mar2005}{...}
{cmd:help newey}{right:dialog:  {bf:{dialog newey}}{space 15}}
{right:also see:  {help newey postestimation}}
{hline}

{title:Title}

{p2colset 5 19 21 2}{...}
{p2col:{hi:[TS] newey} {hline 2}}Regression with Newey-West standard errors
{p_end}
{p2colreset}{...}


{title:Syntax}

{p 8 14 2}
{cmd:newey}
{depvar}
[{indepvars}]
{ifin}
{weight}
{cmd:,}
{opt lag(#)}
[{it:options}]


{synoptset 14 tabbed}{...}
{synopthdr}
{synoptline}
{syntab:Model}
{p2coldent:* {opt lag(#)}}set maximum lag order of autocorrelation{p_end}
{synopt:{opt nocon:stant}}suppress constant term{p_end}

{syntab:Reporting}
{synopt:{opt l:evel(#)}}set confidence level; default is {cmd:level(95)}{p_end}
{synoptline}
{p2colreset}{...}
{p 4 6 2}
* {opt lag(#)} is required.
{p_end}
{p 4 6 2}
You must {helpb tsset} your data before using {opt newey}.{p_end}
{p 4 6 2}
{it:depvar} and {it:indepvars} may contain time-series operators; see
{help tsvarlist}.{p_end}
{p 4 6 2}
{opt by}, {opt rolling}, {opt statsby}, and {opt xi} may be used with
{opt newey}; see {help prefix}.{p_end}
{p 4 6 2}{opt aweight}s are allowed; see {help weight}.{p_end}
{p 4 6 2}
See {help newey postestimation} for features available after estimation.{p_end}


{title:Description}

{pstd}
{opt newey} produces Newey-West standard errors for coefficients estimated
by OLS regression.  The error structure is assumed to be heteroskedastic and
possibly autocorrelated up to some lag.


{title:Options}

{dlgtab:Model}

{phang}
{opt lag(#)} specifies the maximum lag to be considered in the autocorrelation
   structure.  If you specify {cmd:lag(0)}, the output is exactly the same as
   {helpb regress}{cmd:, robust}.  {opt lag()} is required.

{phang}
{opt noconstant}; see {help estimation options##noconstant:estimation options}.

{dlgtab:Reporting}

{phang}
{opt level(#)}; see {help estimation options##level():estimation options}.


{title:Example}

{phang}{cmd:. newey usr idle sysv, lag(3)}


{title:Also see}

{psee}
Manual:  {bf:[TS] newey}

{psee}
Online:  {help newey postestimation};{break}
{helpb regress},
{helpb tsset},
{helpb xtgls},
{helpb xtpcse}
{p_end}