# Tagged Questions

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### Test for granger causality after fitting a GARCH(1,1)

I have two time series, where i wish to test for Granger causality of lagged values of $x$ on $y$, $y$ is changed to "rate-return" and $x$ is the positive or negative "rate-return", that is everywhere ...
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### Probability as a dependent variable in a time-series regression

Are there any issues to run a Newey-West time-series regression on a dependent variable that is a probability? What are the biases that I am facing? I can't find anything online that can help me out ...
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### Shrinkage Estimator for Newey-West Covariance Matrix

This is a cross post. I would like to apply the Newey-West covariance estimator for portfolio optmization. Up to lag one it is given by  \Sigma = \Sigma(0) + \frac12 \left (\Sigma(1) + \Sigma(1)^T ...
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### t-statistics of mean using Newey-West standard error

I have seen that in several papers, where the aim was to evaluate the performance of a certain investment strategy, they use t-statistics to test for significance in the results. However, this seems a ...
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### How does Newey-West covariance help increase accuracy of OLS estimates?

I have implemented a model using OLS estimates, but the results don't look too good. I've come across this term 'Newey-West covariance', and that I need to use residuals from my model as input, but ...
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### Newey West Covariance Definition

I am implementing Newey West covariance matrix in code and wanted to know if anybody knows the matrix definitions and how the lags matrix is defined. I not sure how to type equations here but the ...
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### Newey-West t-statistics

I have a time-series which is autocorrelated by construction, and might be heteroscedastic. I have calculated the sample mean of this time-series, and would like to calculate the t-statistic ...
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### Newey-West standard errors with cross-sectional OLS?

Consider the cross sectional: $Y_i = a + b X_i + e_i$ where I have reason to believe that $E[e_j e_k] \not= 0$ for a concerning number of $j\not= k$. What happens if I use a serial correlation ...
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### Get the R2 from GMM Newey-West in SAS

I'm running a simple cross-sectional regression where I first run regressions for every year of observations and then I'm running this code to get the Newey-West corrected standard errors: ...