Hello Statalist users,

I have a question regarding the ppmlhdfe command. More precisely, I have a (daily) time series and I would like to add Newey West standard errors to take care of both autocorrelation and heteroskedasticity. I also tried with glm (family Poisson) but including week*year FE it does not converge.

I hope someone knows the solution. Since I am new here, let me know, if I am not precise.

Best Regards
Giacomo