Skip to content
Prev 3246 / 15274 Next
Original Raw

A Problem while Calculating Newey-West HAC

Hsiao-nan Cheung 
Hi,
Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section
4.11, how does the last two equations' HAC calculate? I've tried several
groups of parameters in sandwich::NeweyWest, but I still cannot get the same
result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and
prewhite=TRUE yet, but...

Sincerely
Hsiao-nan Cheung