On Thu, 17 Apr 2014, Katharina Mersmann wrote:
This post was nearly what I was searching for.
Im actually trying to reproduce my Stata results in R and don?t overcome
the problem of the NeweyWest Estimators. I have quarterly PanelData
In Stata i used:
newey y x, lag(4) force
In R this shou
This post was nearly what I was searching for.
Im actually trying to reproduce my Stata results in R and don´t overcome the
problem of the NeweyWest Estimators. I have quarterly PanelData
In Stata i used:
newey y x, lag(4) force
In R this should be
reg1.2<-lm(y~x)
coeftest(reg1.2,
On Wed, 16 Feb 2011, stif...@gmx.de wrote:
Hey everyone,
For an investment strategy I built some portfolios of historical stock returns
(every 6 month for 10 years->20observations). To get more observations I´m
using overlapping observations(40obs. which means lag=1).The goal is to test
whet
Hey everyone,
For an investment strategy I built some portfolios of historical stock returns
(every 6 month for 10 years->20observations). To get more observations I´m
using overlapping observations(40obs. which means lag=1).The goal is to test
whether the reruns are positiv or market efficient
On Sun, 27 Jun 2010, Jurica Brajkovi? wrote:
I want to calculate Newey West robust standard error using NeweyWest.
Comparing the results to what I get in STATA, in order to get the same
results in I need to specify "prewhite=0". Can someone explain what this
prewhite command means?
It contro
I want to calculate Newey West robust standard error using NeweyWest. Comparing
the results to what I get in STATA, in order to get the same results in I need
to specify "prewhite=0". Can someone explain what this prewhite command means?
Thanks
[[alternative HTML version deleted]]
6 matches
Mail list logo
