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Grocer >> Basic functions > newey_west

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

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