lpirfs (version 0.1.3)

newey_west: 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 and the second element the covariance matrix of the parameters.

References

Newey, W.K., and West, K.D. (1987). <U+201C>A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.<U+201D> Econometrica, 55, 703<U+2013>708.