Morning,
I am working on a panel data and i am finding serial correlation and heteroscedasticity. To obtain right regression i would like to use the Newey and West method.
So i use the command "newey2 ..., lag(#)".
I though that the newey and west method just change the standard error and not the coeffient but when i compare a regression doing with "xtreg ..., fe or re or nothing" and this one "newey2 ..., lag(0)", the coefficent are totaly different.
Someone can help me about that ?
Thank a lot in advance !!!
I am working on a panel data and i am finding serial correlation and heteroscedasticity. To obtain right regression i would like to use the Newey and West method.
So i use the command "newey2 ..., lag(#)".
I though that the newey and west method just change the standard error and not the coeffient but when i compare a regression doing with "xtreg ..., fe or re or nothing" and this one "newey2 ..., lag(0)", the coefficent are totaly different.
Someone can help me about that ?
Thank a lot in advance !!!