Compute Newey-West estimator with prewhitened estimation functions
Compute Newey-West estimator with prewhitened estimation functions. The function is based on the Matlab code by James P. LeSage.
newey_west_pw(hhat_mat, xpxi_mat, D_mat, h)
hhat_mat |
Matrix. |
xpxi_mat |
Matrix. |
D_mat |
Matrix. |
h |
integer. |
A list. The first element contains the pre-whitened Newey West covariance matrix.
Andrews, D.W. and Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, pp.953-966.
Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.
Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.