Newey_West variance estimator
nw=newey_west(resid,l)
* x = input matrix or vector, (nobs x k)
* l = order of lag (optional)
* nw = matrix (or vector) of lags (nobs x k)
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) | ![]() | ![]() |