Neway-West correction for sample Mean

[MarcoEcon]

Hi Everyone,

I have a single Time series and want to test wehter the mean of this series is equal to zero. Since the observations of my series are overlapping until a certain lag (serially correlated) I want to use the Neway West corrected standard error for the test. How can I compute the corrected error for a sample mean?

[startz]

ls y c
then choose Newey-West

[MarcoEcon]

Sounds easy. Thanks for the Reply.

[MarcoEcon]

One more question about Neway-West:

Is it possible to compute Neway_West correction for fixed lags (e.g. 5)? I think Eviews always chooses the lags automaticly.

[EViews Gareth]

Hit the HAC options button.

[MarcoEcon]

Well I only find the HAC-Options under GMM_Estimation where I have to put something in the instrument list. What do I have to put in there if I wanted to do the exact same thing like the Neway-West-correction in the LS scenario (I still want to estimate the mean of a single series). If I do Neway-West-Correction in the LS-Scenario it automatically sets the lag. In other words: I need simple LS on a constant with Neway-West but with fixed lag and I do not know how to operate with the GMM-Estimation especially with the instrument list?

[startz]

What version of EViews are you using?

[MarcoEcon]

Version 5. You think that there are only hac options in ls estimation in version 6 or 7?

[startz]

The option is there in version 7. I have no idea if it's there in 5.

[EViews Glenn]

It is not there in EV5. You could put an explicit equation in the system and estimate using the system estimator in EV5.