Grocer Function

NAME

newey_west - Newey_West variance estimator

CALLING SEQUENCE

nw=newey_west(resid,l)

PARAMETERS

Input

Output

DESCRIPTION

Performs the Newey_West variance estimator; if no truncation lag (l) is provided by the user, then it is fixed at floor(5*nobs^0.25).if l < = 0, nw = [] is returned.

EXAMPLE

sigma2=newey_west(r('resid'),l)

This example (taken from kpss) calculates the Newey-West estimator for the residuals (r('resid')) of the regression of the tested variable on a trend, with truncation lag l.

AUTHOR

Eric Dubois 2002