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I cannot replicate the mentioned error
sysuse tsline1, clear
tsset lag
asdocx newey2 ar ma, lag(12) nest
asdocx newey2 ar ma, lag(12) nest
Table: Regression results
0 |1 2 3
----+--------------------------------------------------------------------
1 | (1) (2)
----+--------------------------------------------------------------------
2 | ar ar
3 |ma 0.014 0.014
4 | (0.418) (0.418)
5 |_cons 2.127*** 2.127***
6 | (0.255) (0.255)
7 |Observations 200 200
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Click to Open File: C:\temp\Test.docx