Stata users,
I have an unbalanced panel dataset where both autocorrelation and heteroskedasticity are problems. I have read, in the Stata manual, that the newey command (see Newey-West, 1987) is one way in which these two problems may be addressed simultaneously. However, my understanding is that I must stipulate a lag(m) option, where autocorrelation at lags greater than m can be ignored. My question is how to tell what 'm' should be? Or, is there some way to determine how many lags I should be using?
The dataset is by year, covering a time period of 1996-2014.
Thanks,
Courtney
I have an unbalanced panel dataset where both autocorrelation and heteroskedasticity are problems. I have read, in the Stata manual, that the newey command (see Newey-West, 1987) is one way in which these two problems may be addressed simultaneously. However, my understanding is that I must stipulate a lag(m) option, where autocorrelation at lags greater than m can be ignored. My question is how to tell what 'm' should be? Or, is there some way to determine how many lags I should be using?
The dataset is by year, covering a time period of 1996-2014.
Thanks,
Courtney