In Gretl, the option --robust to several estimation commands (such as ols ) in the context of a time-series dataset produces Newey–West standard errors. |
| Стандартные ошибки в форме Ньюи-Уеста |  |
Стандартные ошибки в форме Ньюи-Уеста или состоятельные при гетероскедастичности и автокорреляции стандартные ошибки — применяемая в эконометрике оценка ковариационной матрицы МНК-оценок параметров линейной модели регрессии, альтернативная... Википедия
newey produces Newey–West standard errors for coefficients estimated by OLS regression. The error structure is assumed to be heteroskedastic and possibly ... |
Newey-West Standard Errors | Real Statistics Using Excel real-statistics.com › ... › Autocorrelation
Describes how to calculate the Newey-West standard errors in Excel for multiple linear regression where autocorrelation is present. |
27 янв. 2009 г. · Newey-. West estimator is the most popular HAC estimator. It's not as straightforward as White's estimator to illustrate, but I'll try to ... |
newey produces Newey–West standard errors for coefficients estimated by OLS regression. The error structure is assumed to be heteroskedastic and possibly ... |
We find that the computed standard errors coincide. Of course, a variance-covariance matrix estimate as computed by NeweyWest() can be supplied as the argument ... |
26 нояб. 2022 г. · Newey-West is a pretty good way of handling unequal variance and autocorrelation in the error terms when it comes to estimating standard errors for the ... |
This means that the usual OLS standard errors (usual. STATA printout) are wrong! • We need to use, instead, SEs that are robust to autocorrelation as well as to ... |
27 апр. 2022 г. · Heteroskedasticity and autocorrelation consistent standard errors (HAC) have become a staple in time series econometrics since their ... |
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