[R] A Problem while Calculating Newey-West HAC

From: Hsiao-nan Cheung <niheaven_at_hotmail.com>
Date: Thu, 20 Nov 2008 13:10:07 +0800


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



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