Tagged Questions
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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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358 views
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:
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vcovHC, vcovHAC, NeweyWest – which function to use?
I am trying to update my lm() based model to get correct standard errors and tests. I am really confused which VC matrix to use. The sandwich package offers ...
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772 views
How do joint test, r-squared behave when using autocorrelation / heteroskedasticity robust std. errors?
Recently we discussed on SO how to update a standard linear regression summary with NeweyWest standard errors. I used coeftestfrom the ...
