6. newey(integer): newey specifies the number of lags for estimation of Newey-West consistent standard errors.  asreg allows option newey to be used in both the rolling regressions
    and Fama-McBeth regressions. In the rolling regressions, newey will work only when option se is used. Also, please note that without using option newey, option se estimates normal
    standard errors of OLS. This option accepts only integers, for example newey(1) or newey(4) are acceptable, but newey(1.5) or newey(2.3) are not.

想是忘机者2 发表于 2018-2-4 11:25
请教黄老师，在fmb option中选择newey（#）生成修正标准差的话，我看到help asreg中fmb有这样说道，但是查找 ...