newey_west: Compute OLS parameters and robust standard errors based on...
In lpirfs: Local Projections Impulse Response Functions
newey_west R Documentation
Compute OLS parameters and robust standard errors based on Newey-West estimator
Description
Compute OLS parameters and robust standard errors based on Newey and West (1987).
The function is based on the Matlab code by James P. LeSage.
Usage
newey_west(y, x, h)
Arguments
y
Numeric vector.
x
Numeric matrix.
h
Integer.
Value
A list. The first element contains the estimated OLS parameters, the second element
the Newey West covariance matrix, the third element the estimated functions, the fourth element
the unscaled covariance matrix and the last element the meat estimator.
References
Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and
Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.
lpirfs documentation built on July 9, 2023, 6:35 p.m.
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| newey_west | R Documentation |
Compute OLS parameters and robust standard errors based on Newey-West estimator
Description
Compute OLS parameters and robust standard errors based on Newey and West (1987). The function is based on the Matlab code by James P. LeSage.
Usage
newey_west(y, x, h)
Arguments
y |
Numeric vector. |
x |
Numeric matrix. |
h |
Integer. |
Value
A list. The first element contains the estimated OLS parameters, the second element the Newey West covariance matrix, the third element the estimated functions, the fourth element the unscaled covariance matrix and the last element the meat estimator.
References
Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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