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  • Newey West SE for a sample with same date in different quintiles

    Here is my data example. For one date, I have different values of term in different quintile (quint).
    Code:
    * Example generated by -dataex-. To install: ssc install dataex
    clear
    input long date float term double sprtrn float quint
    12425 .013541103 .005951362 1
    12425  .01908227 .005951362 2
    12425  .02498053 .005951362 3
    12425 .030166345 .005951362 4
    12425  .05550182 .005951362 5
    12425  .03056108 .005951362 .
    end
    format %td date
    That's why when I use tsset, the message error is "repeated time values in sample"
    Code:
    tsset date
    repeated time values in sample
    Therefore, I cannot use newey (or newey2) to adjust Newey West standard error.

    Could you please show me how to deal with problem?
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