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How to determine the bandwidth parameter?

Following from the below paragraph is it easy to understand how Newey and West determine the bandwidth?

"The heteroskedasticity consistent estimator (HCE) developed by White (1980) is considered along with kernel-based HAC estimators popularized by Newey and West (1987) and Andrews (1991). We consider the Bartlett and Quadratic Spectral (QS) kernels where the bandwidth parameter is set according to the guidelines presented by Newey and West (1994) where a VAR(1) is used to prewhiten prior to testing for causality in mean"

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  • $\begingroup$ I think that this is a fairly good description of what was done - many other papers would just refer to Andrews (1991) and are silent on the details of the bandwidth selection. To understand the details of what this implies, I would recommend to start out with Newey & West (1994). The relevant constants for their approach are listed in Table I B and Table II C. (Further comments for others readings this, the quote is from: Vilasuso, 2001, doi.org/10.1016/S0304-4076(00)00072-5.) $\endgroup$ – Achim Zeileis Apr 29 at 12:40

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