[DOC bugs] GMM HAC

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maxchen
Posts: 191
Joined: Fri Oct 10, 2008 4:03 pm

[DOC bugs] GMM HAC

Postby maxchen » Thu Oct 16, 2008 4:02 am

Consulting the original paper, the following equations may have typos
User guide II (ver: Nov 13, 2007), P340-341

eq33.8, should be K(j,q)=1-j/(q+1), note that the denominator should be q+1

eq33.43, add square to the LHS, should be a(p)=(l'F(p)l/(l'F(0)l))^2

eq33.45, if the corresponding first lines of Table II-C of Newey-West (1994) is used, for QS kernel, L=[3(T/100)^(2/25)], not L=T.

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: [DOC bugs] GMM HAC

Postby EViews Gareth » Thu Oct 16, 2008 7:09 am

Yep, we're completely re-writing the manual on GMM for EViews 7, since there are quite a few typos in it.
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