Search found 2 matches
- Sat Dec 07, 2013 2:34 am
- Forum: General Information and Tips and Tricks
- Topic: Newey - West covariance formula
- Replies: 10
- Views: 17616
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...
- Sun Aug 26, 2012 1:40 pm
- Forum: Programming
- Topic: Specify exogenous variables in "coint" command
- Replies: 3
- Views: 3573
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?
Writing
coint(method=eg) y x1 x2 @ x3
does not include x3 in the exogenous list.
Please help?