newey_west_pw

Compute Newey-West estimator with prewhitened estimation functions.
The function is based on the Matlab code by James P. LeSage.

internal

Provides functions to estimate and visualize linear as well as nonlinear impulse
responses based on local projections by Jordà (2005) <doi:10.1257/0002828053828518>.
The methods and the package are explained in detail in Adämmer (2019) <doi:10.32614/RJ-2019-052>.

Philipp Adämmer

lpirfs

Local Projections Impulse Response Functions

James P. LeSage

Mehmet Balcilar

Jon Danielsson

newey_west_pw function

<dl><dt>hhat_mat</dt>
<dd>Matrix.</dd>
<dt>xpxi_mat</dt>
<dd>Matrix.</dd>
<dt>D_mat</dt>
<dd>Matrix.</dd>
<dt>h</dt>
<dd>integer.</dd></dl>

Arguments

Compute Newey-West estimator with prewhitened estimation functions — newey_west_pw

<dl>

<dt>hhat_mat</dt>
<dd>Matrix.</dd>


<dt>xpxi_mat</dt>
<dd>Matrix.</dd>


<dt>D_mat</dt>
<dd>Matrix.</dd>


<dt>h</dt>
<dd>integer.</dd>

</dl>

newey_west_pw: Compute Newey-West estimator with prewhitened estimation functions

Description

Usage

Value

Arguments

References