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.
newey_west_tsls(y, x, z, h)A list. The first element contains the estimated 2SLS parameters and the second element the 2SLS-Newey-West covariance matrix of these parameters. The third element contains the estimated functions, the fourth element the unscaled covariance matrix, the fifth element the meat estimator and the last element the ordinary covariance matrix of the point estimates.
Numeric vector.
Numeric matrix.
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. Wooldridge, J.M. (2002), Econometric Analysis of Cross Section and Panel Data, The MIT Press.