OLS with Newey West(HAC) Covariance method

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swetha
Posts: 1
Joined: Mon Sep 05, 2016 12:42 pm

OLS with Newey West(HAC) Covariance method

Postby swetha » Sun Nov 05, 2017 4:58 pm

I estimated an OLS with the Newey West(HAC) Covariance method.The estimation output has a Wald F-Statistic value in addition to a different and higher F statistic value.

How can I manually calculate the Wald F statistic value with the Newey West variance-covariance matrix in Matlab without any function(i.e) with the actual formula?

Thank you.

EViews Mirza
Posts: 29
Joined: Sat Apr 22, 2017 8:23 pm

Re: OLS with Newey West(HAC) Covariance method

Postby EViews Mirza » Wed Nov 08, 2017 3:31 pm

The statistic next to the F-statistic entry is the usual F-statistic using no HAC adjustment. Thus, the variance of the parameter estimate is sigma^2(X'X)^(-1).
The statistic next to the Wald F-statistic entry is the F-statisitc using the HAC variance adjustment.

You can adjust the nature of the HAC variance estimator by clicking on HAC options.


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