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**** NEWEY *****
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version 13.0
set more off
use C:\Users\Toby\Desktop\JOHN_PUB\States\States_Merged, clear

sort date
tsset date

*drop if date >tm(1979m12) // Date Range for sub-period
*drop if date <tm(1980m1) // Date Range for sub-period
*drop if date >tm(1999m1) // Date Range for sub-period
drop if date <tm(2000m1) // Date Range for sub-period

loc a GM_State // Cooper Market State 

mvsumm CS_Mom, gen(CS6) stat(mean) window(6)
mvsumm CS_Mom, gen(CS12) stat(mean) window(12)
replace CS6 = f5.CS6
replace CS12 = f11.CS12

mvsumm TS_Mom, gen(TS6) stat(mean) window(6)
mvsumm TS_Mom, gen(TS12) stat(mean) window(12)
replace TS6 = f5.TS6
replace TS12 = f11.TS12

mvsumm H52_Mom, gen(H52_6) stat(mean) window(6)
mvsumm H52_Mom, gen(H52_12) stat(mean) window(12)
replace H52_6 = f5.H52_6
replace H52_12 = f11.H52_12

mvsumm L52_Mom, gen(L52_6) stat(mean) window(6)
mvsumm L52_Mom, gen(L52_12) stat(mean) window(12)
replace L52_6 = f5.L52_6
replace L52_12 = f11.L52_12

mvsumm BS_Mom, gen(BS6) stat(mean) window(6)
mvsumm BS_Mom, gen(BS12) stat(mean) window(12)
replace BS6 = f5.BS6
replace BS12 = f11.BS12

ren Passive AVG

mvsumm AVG, gen(AVG6) stat(mean) window(6)
mvsumm AVG, gen(AVG12) stat(mean) window(12)
replace AVG6 = f5.AVG6
replace AVG12 = f11.AVG12

*loc var CS6
*loc var CS12
*loc var TS6
*loc var TS12
*loc var H52_6
*loc var H52_12
*loc var L52_6
*loc var L52_12
*loc var BS6
*loc var BS12
*loc var AVG6
loc var AVG12

save New_States, replace

keep if `a'==0
reg `var'
loc rsqr = round(e(r2_a), 0.001)
scalar l = round(4*(e(N)/100)^(2/9))
scalar list l 
newey `var', lag(`=l') force
matrix a1=r(table)
loc `var'_0=a1[3,1]

use New_States, clear
keep if `a'==1
reg `var'
loc rsqr = round(e(r2_a), 0.001)
scalar l = round(4*(e(N)/100)^(2/9))
scalar list l 
newey `var', lag(`=l') force
matrix a1=r(table)
loc `var'_1=a1[3,1]

dis ``var'_1' 
dis ``var'_0'