[R] NeweyWest

From: Jurica BrajkoviŠ <jbrajkovic_at_eihp.hr>
Date: Sun, 27 Jun 2010 19:22:32 +0200


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

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