Announcement

Collapse
No announcement yet.
X
  • Filter
  • Time
  • Show
Clear All
new posts

  • Is there a way to use panel data rolling regressions with driscoll-Kraay standard errors?

    Hello to everyone in this forum,

    I wonder if there is a way to add Driscoll-Kraay standard errors to perform rolling regressions using fixed effects in Stata?

    I know you can use Newey and robust errors with this code, but is there a way to add Driscoll-Kraay standard errors?

    clear all
    set more off
    webuse grunfeld,clear
    xtset company year
    tab company, gen(company_)
    asreg invest mvalue kstock company_*, wind(year -7 0) robust
    //or
    asreg invest mvalue kstock company_*, wind(year -7 0) newey(2)



    Thank you very much for your help!

  • #2
    Welcome to Statalist.

    You have accidentally posted your topic in Statalist's Mata Forum, which is used for discussions of Stata's Mata language, which is different than Stata's command language. Your question will see a more appropriate, and much larger audience if you post it in Statalist's General Forum.

    Also, if you have not already done so, take a look at the Statalist FAQ linked to at the top of this page for posting guidelines and suggestions.

    Comment

    Working...
    X