Newey-West Automatic Bandwith

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marcounam
Posts: 49
Joined: Tue Jan 11, 2011 10:42 am

Newey-West Automatic Bandwith

Postby marcounam » Tue Aug 02, 2011 7:46 am

Hello?
How exactly does Eviews estimate the Newey-West Automatic Bandwith? I thought it was 4(N/100)^(2/9) but now im not sure. Could someone explain this to me?

Many Thanks!
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Newey-West Automatic Bandwith

Postby EViews Gareth » Tue Aug 02, 2011 8:20 am

Which version of EViews?
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marcounam
Posts: 49
Joined: Tue Jan 11, 2011 10:42 am

Re: Newey-West Automatic Bandwith

Postby marcounam » Tue Aug 02, 2011 9:59 am

It's Eviews Version 7 :wink: .
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Newey-West Automatic Bandwith

Postby EViews Glenn » Tue Aug 02, 2011 10:22 am

There is a long description of long-run covariance estimation in Appendix E of the User's Guide II (the Newey-West Automatic Selection is described beginning on p. 781).
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