Re: [R] NeweyWest

From: Achim Zeileis <Achim.Zeileis_at_uibk.ac.at>
Date: Sun, 27 Jun 2010 23:24:47 +0200 (CEST)

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 controls whether autocorrelation in the estimating functions should be removed/reduced by using a VAR model.

?NeweyWest says:

prewhite: logical or integer. Should the estimating functions be

           prewhitened? If 'TRUE' or greater than 0 a VAR model of order
           'as.integer(prewhite)' is fitted via 'ar' with method '"ols"'
           and 'demean = FALSE'. The default is to use VAR(1)
           prewhitening.

The "Details" section adds: To obtain the estimator described in Newey & West (1987), prewhitening has to be suppressed.

References can also be found on the manual page as well as in Section 3.2 of vignette("sandwich", package = "sandwich"). Z

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https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code. Received on Mon 28 Jun 2010 - 00:35:20 GMT

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