Hello everyone,
I would like to ask a question about Newey-West command in Stata, please.
I would like to use the Newey-West standard error to correct for the serial correlation; however I got confused.
I found that my regression model had serial correlation of order one, so I used the command newey, lag(1) to correct this serial correlation and I got the new regression model.
My question is that, for the latter model, was the serial correlation fixed already?
or
I have to find the the lag order that there is no serial correlation by bgodfrey and then use the command newey, lag(that order) to get the serial-correlation-fixed regression model.
I really appreciate any assistance.
I would like to ask a question about Newey-West command in Stata, please.
I would like to use the Newey-West standard error to correct for the serial correlation; however I got confused.
I found that my regression model had serial correlation of order one, so I used the command newey, lag(1) to correct this serial correlation and I got the new regression model.
My question is that, for the latter model, was the serial correlation fixed already?
or
I have to find the the lag order that there is no serial correlation by bgodfrey and then use the command newey, lag(that order) to get the serial-correlation-fixed regression model.
I really appreciate any assistance.
