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by alunde
Sat Dec 07, 2013 2:34 am
Forum: General Information and Tips and Tricks
Topic: Newey - West covariance formula
Replies: 10
Views: 12689

Newey - West covariance formula for KPSS

Dear Gareth Wrote at some time that " which for the Bartlett kernel is m=floor(4*(T/100)^2/9), where m is described in the first paragraph of page 779 of the PDF version of User Guide II". I can get that to match the output attached. Here T is 59 and the auto bandwidth is 6, but floor(4*(5...
by alunde
Sun Aug 26, 2012 1:40 pm
Forum: Programming
Topic: Specify exogenous variables in "coint" command
Replies: 3
Views: 1544

Re: Specify exogenous variables in "coint" command

But how does this work for the engle-granger test

Writing

coint(method=eg) y x1 x2 @ x3

does not include x3 in the exogenous list.

Please help?

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