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