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Well, I was hoping you wouldn't say that. Maybe you can implement it in the next version .

Any other ideas how I could proceed?

Thanks

I am using seemingly unrelated regression (SUR) to estimate a system of equations with contemporaneous correlation and cross equation restrictions. Is there any possibility to use Newey-West standard erros (HAC) to correct for serial correlation? I know that I could use GMM/2SLS with the exogenous v...