I am currently conducting two-way fixed effects regressions using the 'Reghdfe' command and I am particularly interested in obtaining the Newey-West adjusted t-values for these analyses. However, I have encountered an issue with the implementation of the Newey-West adjust option.
The help documentation suggests using 'vce(,bw(13))', but when I attempt to apply this option, I receive the following error message: "VCE options not supported: bw(13)". I am seeking guidance on how to correctly implement the Newey-West adjustment with a bandwidth of 13 lags.
Could you please advise on the appropriate syntax or alternative methods to achieve the desired Newey-West adjusted t-values?
Here is an example of the code I am using:
reghdfe y x1 x2, absorb(i t) vce(cluster clustvar)
I would greatly appreciate any assistance you can provide. Thank you in advance for your time and expertise.
The help documentation suggests using 'vce(,bw(13))', but when I attempt to apply this option, I receive the following error message: "VCE options not supported: bw(13)". I am seeking guidance on how to correctly implement the Newey-West adjustment with a bandwidth of 13 lags.
Could you please advise on the appropriate syntax or alternative methods to achieve the desired Newey-West adjusted t-values?
Here is an example of the code I am using:
reghdfe y x1 x2, absorb(i t) vce(cluster clustvar)
I would greatly appreciate any assistance you can provide. Thank you in advance for your time and expertise.
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