#' Newey-West HAC covariance estimator.
#'
#' @param y A T*k vector of numeric values.
#' @param qn A numberic scalar for the truncation lag.
#' @return Newey-West HAC covariance estimator (as derived in Hayashi).
#' @examples
#'
nw <- function(y,qn){
T <- length(y)
ybar <- rep(1,T) * ((sum(y))/T)
dy <- y-ybar
G0 <- t(dy) %*% dy/T
for (j in 1:qn){
gamma <- t(dy[(j+1):T]) %*% dy[1:T-j]/(T-1)
G0 <- G0+(gamma+t(gamma))*(1-abs(j/qn))
}
return(as.numeric(G0))
}
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