Hello,
I am working with a very unbalanced panel data set, where my id variable is an individual, and the time variable is quarters. I am currently trying to run separate regressions for each individual in my panel, using Newey-West standard errors to control for what I know to be serial correlation in my data. When I read in the data, I --xtset-- my data as well as use --tsfill, full--. My code looks like the following:
Code:
 levelsof person, local(levels) 

 foreach l of local levels {

 newey2   depvar   mean_depvar  if person == `l', force lag(4) 

 }
where --mean_depvar-- is just the mean, by quarter, of the dependent variable of my regression. I am using force because I get the following error:
Code:
yq is not regularly spaced -- use the force option to override
I understand that because I have missing observations for some individuals in the panel as the reason for this error. However, I just want to ensure that --force-- is not interpreting the correlation structure of the residuals incorrectly. If I have a residual for an individual at time t and time t+4, but nothing for t+2 and t+3, I do not want Stata to think that the correlation between the residuals at time t and t+4 are only one period apart. The documentation for --newey2-- says the following:

newey2 handles missing observations differently for time series and panel data sets. Consider the example of a time series data set containing gaps, which is then recast using tsset as a panel data set with one group. newey and newey2 will not run on the time series version without force; with force they treat available observations as equally spaced. After the set is cast as a panel, newey2 will run without , force, and will assume zero serial correlation with missing observations.

Is the reason that I cannot run --newey2-- without --force-- is because now I am running separate regressions, which are essentially using unbalanced time-series for each individual? Any thoughts or guidance on this would be much appreciated!