EViews.com

Hi-- I wish I could be of more assistance, but I only know that a straight Newey-West needs modification (in a way that Eviews apparently does not do). You may find a great paper by Mitch Peterson of Northwestern of interest. “Estimating Standard Errors in Finance Panel Data Sets: Comparing Approach...

Hi-- Actually, I am reviewing some work done by someone else and I do not know exactly how it was done (though I know it was done in Eviews). By your response, I take it that Eviews does not have an automatic option to allow one to apply Newey-West in a panel (in a way that appropriately truncates t...

I have a question regarding exactly how Eviews applies the Newey-West HACV estimator in cases of panel data in a standard linear regression case. Does the estimator appropriately account for truncation of lags across different cross sectional units? How are lag orders automatically chosen in such ca...