newey_west_pw: Compute Newey-West estimator with prewhitened estimation...
In lpirfs: Local Projections Impulse Response Functions
newey_west_pw R Documentation
Compute Newey-West estimator with prewhitened estimation functions
Description
Compute Newey-West estimator with prewhitened estimation functions.
The function is based on the Matlab code by James P. LeSage.
Usage
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 July 9, 2023, 6:35 p.m.
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| newey_west_pw | R Documentation |
Compute Newey-West estimator with prewhitened estimation functions
Description
Compute Newey-West estimator with prewhitened estimation functions. The function is based on the Matlab code by James P. LeSage.
Usage
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.
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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