newey_west_pw: Compute Newey-West estimator with prewhitened estimation...

Description Usage Arguments Value References

View source: R/RcppExports.R

Description

Compute Newey-West estimator with prewhitened estimation functions. The function is based on the Matlab code by James P. LeSage.

Usage

1
newey_west_pw(hhat_mat, xpxi_mat, D_mat, h)

Arguments

hhat_mat

Matrix.

xpxi_mat

Matrix.

D_mat

Matrix.

h

integer.

Value

A list. The first element contains the pre-whitened Newey West covariance matrix.

References

Andrews, D.W. and Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, pp.953-966.

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 March 24, 2021, 1:10 a.m.