nse.nw: Newey-West estimator In nse: Numerical Standard Errors Computation in R

Description

Function which calculates the numerical standard error with the Newey West (1987, 1994) HAC estimator.

Usage

 `1` ```nse.nw(x, lag.prewhite = 0) ```

Arguments

 `x` A numeric vector `lag.prewhite` Prewhite the series before analysis (integer or `NULL`). When `lag.prewhite = NULL` this performs automatic lag selection. Default is `lag.prewhite = 0` that is no prewhitening.

Value

The NSE estimator.

Note

`nse.nw` is a wrapper around `lrvar` from the `sandwich` package. See the documentation of `sandwich` for details.

Author(s)

David Ardia and Keven Bluteau

References

Newey, W.K., West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix. Econometrica 55(3), .703-708.

Newey, W.K., West, K.D. (1994) . Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61(4), .631-653.

Examples

 ``` 1 2 3 4 5 6 7 8 9 10 11 12 13 14``` ```## Not run: n = 1000 ar = 0.9 mean = 1 sd = 1 set.seed(1234) x = c(arima.sim(n = n, list(ar = ar), sd = sd) + mean) nse.nw(x = x, lag.prewhite = 0) nse.nw(x = x, lag.prewhite = 1) nse.nw(x = x, lag.prewhite = NULL) ## End(Not run) ```

nse documentation built on April 26, 2021, 1:06 a.m.