On Thu, 17 Apr 2014, Katharina Mersmann wrote:
This post was nearly what I was searching for.
Im actually trying to reproduce my Stata results in R and don?t overcome
the problem of the NeweyWest Estimators. I have quarterly PanelData
In Stata i used:
newey y x, lag(4) force
In R this should be
reg1.2<-lm(y~x)
coeftest(reg1.2, df = Inf, vcov = NeweyWest(reg1.2, lag = 4,prewhite=0))
but i get slightly different Std. Dev. and P-values.
Do i use the wrong command? Or the wrong specification?
It's hard to say what is the source of the differences without a
reproducible example. The most obvious candidate is a degrees of freedom
adjustment, though. By default, NeweyWest() divides by n, the sample size.
But some implementations also use division by n-k, where k is the number
of estimated parameters. So maybe
coeftest(reg1.2, df = Inf,
vcov = NeweyWest(reg1.2, lag = 4, prewhite = 0, adjust = TRUE))
replicates the Stata results exactly?
Note though that the literature usually recommends automatic bandwidth
selection and prewhitening (as implemented in the defaults of NeweyWest).
I'm not sure whether there are results for the degrees of freedom
adjustment.
Thanks a lot for your suggestions!
Katie
Achim Zeileis-4 wrote
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
[[alternative HTML version deleted]]
______________________________________________
R-help@
mailing list
<https://stat.ethz.ch/mailman/listinfo/r-help>
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
<http://www.R-project.org/posting-guide.html>
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
______________________________________________
R-help@
mailing list
<https://stat.ethz.ch/mailman/listinfo/r-help>
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide
<http://www.R-project.org/posting-guide.html>
http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
