About Newey-west (HAC) results
Posted: Mon May 12, 2014 8:50 am
I find a standard eviews result from an article, which as follows:
Dependent Variable: RATES
Method: Least Squares
Date: 12/03/12 Time: 14:09
Sample: 1961Q1 1986Q3
Included observations: 103
HAC standard errors & covariance (Prewhitening with lags = 1,
Quadratic-Spectral kernel, Andrews bandwidth = 1.9610)
Variable Coefficient Std. Error t-Statistic Prob.
C 1.375142 0.599818 2.292600 0.0239
R-squared 0.000000 Mean dependent var 1.375142
Adjusted R-squared 0.000000 S.D. dependent var 3.451231
S.E. of regression 3.451231 Akaike info criterion 5.325001
Sum squared resid 1214.922 Schwarz criterion 5.350580
Log likelihood -273.2375 Hannan-Quinn criter. 5.335361
Durbin-Watson stat 0.745429
My eviews result as follows:
Dependent Variable: PEMA_W
Method: Least Squares
Date: 05/12/14 Time: 22:59
Sample: 5/13/2013 5/05/2014
Included observations: 247
HAC standard errors & covariance (Bartlett kernel, User bandwidth =
8.0000)
Variable Coefficient Std. Error t-Statistic Prob.
C 772.7935 232.9400 3.317565 0.0010
SEMA_W 157.8913 38.04165 4.150486 0.0000
R-squared 0.143515 Mean dependent var 1749.567
Adjusted R-squared 0.140019 S.D. dependent var 86.53615
S.E. of regression 80.24943 Akaike info criterion 11.61622
Sum squared resid 1577793. Schwarz criterion 11.64464
Log likelihood -1432.603 Hannan-Quinn criter. 11.62766
F-statistic 41.05288 Durbin-Watson stat 0.049852
Prob(F-statistic) 0.000000 Wald F-statistic 17.22653
Prob(Wald F-statistic) 0.000046
I have two questions:
(i) why are the two eviews results different by using the same method (focusing on the parts of the underlined and bold)? How could I get the standard result as the article result shown by running eviews?
(ii) I use this eviews method in order to remedy auto-correlation, but my eviews result does not seem to be useful to remedy auto-correlation. How could I reach my goal by using eviews?
Thank you very much!
Hope your response asap!
Dependent Variable: RATES
Method: Least Squares
Date: 12/03/12 Time: 14:09
Sample: 1961Q1 1986Q3
Included observations: 103
HAC standard errors & covariance (Prewhitening with lags = 1,
Quadratic-Spectral kernel, Andrews bandwidth = 1.9610)
Variable Coefficient Std. Error t-Statistic Prob.
C 1.375142 0.599818 2.292600 0.0239
R-squared 0.000000 Mean dependent var 1.375142
Adjusted R-squared 0.000000 S.D. dependent var 3.451231
S.E. of regression 3.451231 Akaike info criterion 5.325001
Sum squared resid 1214.922 Schwarz criterion 5.350580
Log likelihood -273.2375 Hannan-Quinn criter. 5.335361
Durbin-Watson stat 0.745429
My eviews result as follows:
Dependent Variable: PEMA_W
Method: Least Squares
Date: 05/12/14 Time: 22:59
Sample: 5/13/2013 5/05/2014
Included observations: 247
HAC standard errors & covariance (Bartlett kernel, User bandwidth =
8.0000)
Variable Coefficient Std. Error t-Statistic Prob.
C 772.7935 232.9400 3.317565 0.0010
SEMA_W 157.8913 38.04165 4.150486 0.0000
R-squared 0.143515 Mean dependent var 1749.567
Adjusted R-squared 0.140019 S.D. dependent var 86.53615
S.E. of regression 80.24943 Akaike info criterion 11.61622
Sum squared resid 1577793. Schwarz criterion 11.64464
Log likelihood -1432.603 Hannan-Quinn criter. 11.62766
F-statistic 41.05288 Durbin-Watson stat 0.049852
Prob(F-statistic) 0.000000 Wald F-statistic 17.22653
Prob(Wald F-statistic) 0.000046
I have two questions:
(i) why are the two eviews results different by using the same method (focusing on the parts of the underlined and bold)? How could I get the standard result as the article result shown by running eviews?
(ii) I use this eviews method in order to remedy auto-correlation, but my eviews result does not seem to be useful to remedy auto-correlation. How could I reach my goal by using eviews?
Thank you very much!
Hope your response asap!