Newey West and Probit

[danielpark]

I have the same question as that person who posted quite a while ago in this http://forums.eviews.com/viewtopic.php?f=18&t=2728

I quote:

Hi, I am quite new to Eviews and to this field in general and after google-ing, reading the users guide and browsing this forum I still can not find any information on how to use Newey-West method for Probit Models. In particular I am performing forecasts using a probit model, however due to the overlapping nature of the forecasts I would like to correct the serial correlation of the errors by using Newey-West techinique.

I would be very grateful if you could give any hint or advice! Tnx

[EViews Glenn]

EViews 8 offers GLM estimation with HAC standard errors. You can estimate the probit model using the binomial family and probit link, then compute the HAC covariances. You can use the probit results to verify that you have the same coefficients.