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


load(GROCERDIR+'data/bdhenderic.dat')
r=ols('lm1','const','trend(1,length(series(lm1)))')
sigma1=newey_west(r('resid'),10)
sigma2=newey_west(r('resid'))
// default length used (here it amounts to 16)


               

AUTHOR

Eric Dubois 2002