EViews.com

Hello,

I have recently switched to Eviews 7 and one of the things I noticed is that they the procedures for estimating timeseries with NW standard errors are different. In Stata you would simply type "Newey and specify lag length", whereas as I understand that in Eviews you cannot manually choose the lag length and you also have to specify whitening options, kernel choice,etc.

I was wondering what would be the settings for whitening, kernel and other options to get the same or as close as possible results to the method used by Stata?

Stata is somewhat fragmented. Which particular Stata command were you using?

I was using Newey (depvar) (indepvars), lag(x)

ok. The equivalent EViews command would be: where Z is X+1 (i.e. the user lag-length in EViews is the same as the Stata one plus one).