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
Thanks
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