Am 06.09.2023 um 13:14 schrieb Alison Loddick:
Hi Sven,
I've just had a look at the Stata manual and it looks like Newey West
is only available for old panel regression. They use cluster approach
for fixed and random effects.
I think I have enough to go back with a convincing argument. Thank you
P.S.: Maybe it's a bit too early to mention this, but the next gretl
version will have more clustering options for the standard errors in the
panel case. (It already had them for non-panel stuff.)Actually, it seems
to me that then gretl will offer more flexibility than Eviews currently
does, being closer to Stata in that respect, if I understand correctly.
There's no release date for the next gretl version, but I would expect
that it's 2023c, not 2024a.
cheers
sven
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