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5
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1answer
733 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 ...
2
votes
1answer
701 views
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 ...
2
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0answers
402 views
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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0answers
68 views
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 ...
0
votes
1answer
331 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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0answers
77 views
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 ...
0
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0answers
83 views
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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409 views
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 ...
