lpirfs (version 0.1.9)

newey_west_pw: 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). <U+201C>A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.<U+201D> Econometrica, 55, 703<U+2013>708.