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.
newey_west(y, x, h)A list. The first element contains the estimated OLS parameters, the second element the Newey West covariance matrix, the third element the estimated functions, the fourth element the unscaled covariance matrix and the last element the meat estimator.
Numeric vector.
Numeric matrix.
Integer.
Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.