[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

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...

Hsiao-nan Cheung

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