# Questions tagged [neweywest]

A type of the coefficient variance-covariance matrix estimator used to compute robust standard errors in time series context. Please consider using the more general *robust-standard-error* tag instead of this.

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### Neweywest test in R

Portfolio analysis is being conducted using R. We use the neweywest function belonging to the sandwich package, and the brief description is as follows. ...
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1 vote
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### Poisson regression with autocorrelated residuals

i am running a Poisson segmented regression on monthly cases following the classic format by Wagner: Wagner AK, Soumerai SB, Zhang F, Ross-Degnan D. Segmented regression analysis of interrupted time ...
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### Should I check if the problems(i.e. autocorrelation and heteroskedasticity) were overcome by using "NeweyWest()"?

Please help me, because I can't resolve the following problems by myself. Model: reg_lm <- lm(Y~A+B+C, data=Data1) In the above model, there are two problems to ...
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175 views

### Which standard errors do I use for the Fama-French three-factor model?

I am doing a linear regression with the Fama-French three-factor model with data from the stock market I built a portfolio out of. (I also use Betting Against Beta, Short Term, Long Term and Momentum ...
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1 vote
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### Newey West estimator, application

What is the application of the Newey-West estimator of variance in case that we have the presence of autocorrelation in our model?
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### ARIMA OLS regression with Newey West standard errors in R

In R I am trying to run an ARIMA model rsi_model_2 <- arima(dlog_seasonal_RSI_ts, order=c(0,0,1), seasonal=c(0,0,1)) How do I make sure it uses Newey-West ...
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### Comparison between Newey-West (1987) and Hansen-Hodrick (1980)

Question: What are the main differences and similarities between using Newey-West (1987) and Hansen-Hodrick (1980) standard errors? In which situations should one of these be preferred over the other? ...
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### Replicating White's standard errors in R with the NeweyWest function

Theoretical background: White's heteroskedasticity-consistent (HC) standard errors and Newey-West's heteroskedasticity- and autocorrelation-consistent (HAC) standard errors are closely related. When ...
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### Different optimal bandwidths of Newey West (1994) in R and STATA

R and STATA gave very different optimal bandwidths for the same data set. It will be greatly appreciated if someone can give me any hint why this happens. Here are two sample codes from R and STATA ...
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### Heteroscedasticity in VAR Residuals

I got some heteroscedasticity in the residuals of a VAR model (check the plot). As fas as I know, the VAR coefficients are still consistent. However, the standard errors are supposed to be not well ...
4k views

### Optimal Lag for Newey West

I am currently working on my PhD thesis and was wondering how I can identify the optimal number of lags for the Newey West covariance matrix. So far, my code is ...
14k views

### OLS regression with Newey-West error term [closed]

I need to estimate a linear regression with the OLS method. Since I assume the error terms to be correlated, I would like to account for heteroskedasticity and autocorrelation in the error terms. I ...
5k views

### Does Newey-West standard errors affects the significance level of R2?

General question: I use the linear regressions with the OLS method to check whether cross-sectional standard deviation is able to describe future sumed excess returns or not. Because of ...
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### Newey-West like HAC estimates with non-temporal correlation structure in residuals

Let's suppose I have data with key variables country, company and year (and a load of model variables). There are many companies per country and many years of observations per company. Naturally, ...
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### Newey West Covariance in SAS and in R are different

I am using the proc autoreg procedure in SAS and the sandwich library in R to calculate Newey West covariance for a linear model....
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1 vote
2k 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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