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

[Viridiana Corona]

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!

[William Lisowski]

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.

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