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- Tue Jul 02, 2013 7:22 am
- Forum: Estimation
- Topic: Newey-West Standard Errors and Hansen-Hodrick Standard Error
- Replies: 1
- Views: 4379
Newey-West Standard Errors and Hansen-Hodrick Standard Error
Hi I want to know if two data series are different from each other. However, due to the nature of the data there is auto correlation of 11 lags. I want to obtain the t statistics and the p-values that uses Newey-West standard errors and another set of t statistics and p-values using hansen-hodrick s...