Name

newey_west — Newey_West variance estimator

CALLING SEQUENCE

nw=newey_west(resid,l)

PARAMETERS

Input

• x = input matrix or vector, (nobs x k)

• l = order of lag (optional)

Output

• nw = matrix (or vector) of lags (nobs x k)

DESCRIPTION

Performs the Newey_West variance estimator; if no truncation lag (l) is provided by the user, then it is fixed at floor(5*nobs^0.25).if l <= 0, nw = [] is returned.

EXAMPLE


sigma2=newey_west(r('resid'),l)

 

This example (taken from kpss) calculates the Newey-West estimator for the residuals (r('resid')) of the regression of the tested variable on a trend, with truncation lag l. 



               

AUTHOR

Eric Dubois 2002