Estimation with Newey-West correction on standard errors
[rnwest]=nwest(namey,varargin)
* namey = a time series, a real (nx1) vector or a string equal to the name of a time series or a (nx1) real vector between quotes
* argi = an argument which can be:
- a time series
- a real (nx1) vector
- a real (nxk) matrix
- a string equal to the name of a time series or a (nxk) real vector or matrix between quotes
- a list of such elements
- the string 'noprint' if the user doesn't want to display the results of the regression
- the string 'win=n' where n is the length of the Barlett window (default = floor(5*nobs^0.25))
* rnwest = a results tlist with
- rnwest('meth') = 'Newey-West''s'
- rnwest('y') = y data vector
- rnwest('x') = x data matrix
- rnwest('nobs') = # observations
- rnwest('nvar') = # variables
- rnwest('beta') = bhat
- rnwest('yhat') = yhat
- rnwest('resid') = residuals
- rnwest('vcovar') = estimated variance-covariance matrix of beta
- rnwest('sige') = estimated variance of the residuals
- rnwest('sigu') = sum of squared residuals
- rnwest('ser') = standard error of the regression
- rnwest('tstat') = t-stats
- rnwest('pvalue') = pvalue of the betas
- rnwest('dw') = Durbin-Watson Statistic
- rnwest('condindex') = multicolinearity cond index
- rnwest('prescte') = boolean indicating the presence or absence of a constant in the regression
- rnwest('rsqr') = rsquared
- rnwest('rbar') = rbar-squared
- rnwest('f') = F-stat for the nullity of coefficients other than the constant
- rnwest('pvaluef') = its significance level
- rnwest('prests') = boolean indicating the presence or absence of a time series in the regression
- rnwest('namey') = name of the y variable
- rnwest('namex') = name of the x variables
- rnwest('bounds') = if there is a timeseries in the regression, the bounds of the regression
load('grocer/bdexamples/bdhenderic.dat') ; bounds('1964q3','1989q2') ; rnwest=nwest('del(lm1-lp)','del(lp)','rnet','lagts(1,lm1-lp-ly)','cte') // Example taken from nwest1_d, applies the Newet-west correction to the Hendry and Ericsson (1991) preferred specification with a default Barlett window. | ![]() | ![]() |