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Apr 7

Newey West estimator

Posted by abiao at 14:50 | Code » Matlab | Comments(4) | Reads(21948)
This function returns the Newey-West estimator of the asymptotic variance matrix. What is Newey West? it was proposed by the author Whitney K. Newey and Kenneth D. West in their paper "A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix" at 1987. It rests on considerations of the so-called “frequency domain representation” of the Ft’s and also of a number of notions associated with nonparametric estimation procedures.

One possible application of Newey West estimator is for long run variance covariance calculation; another might be for the improvement of OLS regression when the variables have heteroskedasticity and autocorrelation.

Download at http://www.homepages.ucl.ac.uk/~uctprgi/Matlabcode.htm


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The download at http://www.econ.ucla.edu/giacomin/Matlabcode.htm is not available anymore.
Cheers, I've updated the link.
In your function you do not take into account the residuals... Just the matrix of the independent variables... How can you explain this? I do not think your function is good.
Hey, please contact the author directly at http://www.homepages.ucl.ac.uk/~uctprgi/ regarding the concern.
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