lpirfs (version 0.1.3)

newey_west_tsls: Compute 2SLS parameters and robust standard errors based on Newey-West

Description

Compute 2SLS parameters and robust standard errors based on Newey and West (1987). Part of the function is based on the Matlab code by James P. LeSage.

Usage

newey_west_tsls(y, x, z, h)

Arguments

y

Numeric vector.

x

Numeric matrix.

z

Numeric matrix.

h

Integer.

Value

A list. The first element contains the estimated 2SLS parameters and the second element the covariance matrix of these 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. Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, The MIT Press.