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.
OLS with Newey West(HAC) Covariance method
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Re: OLS with Newey West(HAC) Covariance method
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.
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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