Hello to everyone in this forum,
I wonder if there is a way to add Driscoll-Kraay standard errors to perform rolling regressions using fixed effects in Stata?
I know you can use Newey and robust errors with this code, but is there a way to add Driscoll-Kraay standard errors?
clear all
set more off
webuse grunfeld,clear
xtset company year
tab company, gen(company_)
asreg invest mvalue kstock company_*, wind(year -7 0) robust
//or
asreg invest mvalue kstock company_*, wind(year -7 0) newey(2)
Thank you very much for your help!
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