Page 1 of 1

Newey West HAC in command line

Posted: Sun Oct 04, 2009 2:45 pm
by Zausel
I have a question regarding Newey West standard erros.

I have a simple regression code to run ols for 23 country Index funds:

for !i = 1 to country.@count
%name = country.@seriesname(!i)
equation eq_{%name}.ls {%name} c msci_world
next

Which code can i use that the Newey West standard errors are automatically calculated for each country index fund?




Thanks for your help!

Re: Newey West HAC in command line

Posted: Mon Oct 05, 2009 6:43 am
by trubador
...
equation eq_{%name}.ls(n) {%name} c msci_world
...