# 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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### HAC Robust Errors - Simple Static Time Series Regression

We're working with Wooldridge Econometrics without matrix algebra. My professor introduces a simple static time series model: $$y_t = \beta_0 +\beta_1x_t+u_t$$ In the presence of serial correlation, ...
10 views

### NEwy West t stat test for a time series of values

I have a a time series of differences of returns of a stock from the market (the value is already the difference. I do not have the raw values of the 2). Is there a way in python to calculate a newy ...
44 views

### Derivation of Newey West Formula for Estimating the HAC Covariance Matrix

I currently reading Whitney Newey and Kenneth West's paper "a simple, positive semidefinite, heteroskedasticity and autocorrelation consistent covariance matrix" For a multi-regression ...
138 views

### What is the benefit of using Newey-West when there is no impact on the coefficient estimates in OLS?

Since my residuals failed the test for heteroscedasticity and autocorrelation, what is the benefit of using Newey-West when there is no impact on the coefficient estimates in OLS? Does the Newey-West ...
1 vote
47 views

### Are Newey-West standard errors or robust procedures applicable to generalized linear models? [closed]

Are Newey-West standard errors applicable to generalized linear models? I do not mean GEE. I mean regular glm. 1 vote
106 views

### 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. ...
1 vote
304 views

### 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 ...
387 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 ...
554 views

1 vote
2k views

### 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?
773 views

### 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 ...
5k views

### 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? ...
10k views

### 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 ...
749 views

### 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 ...
3k views

### 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 ...
5k 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 ...
16k 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 ...
1 vote
127 views

### 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, ...