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Time series are data observed over time (either in continuous time or at discrete time periods).

0 votes
1 answer
28 views

Treatment effect estimation for policy change in time series

I have time series data and want to estimate the impact of a policy change on an outcome. The policy comes into effect at some point and remains active for the rest of the sample period. So I only hav …
jacob2881's user avatar
2 votes
1 answer
75 views

What does it mean when newey-west standard errors are much larger than other types of standa...

I am doing a regression using time series data and when I use newey-west standard errors they are 3-4 times as large as other types of standard errors (heteroskedasticity-robust and different clusteri …
jacob2881's user avatar