Newey West HAC in command line
Posted: Sun Oct 04, 2009 2:45 pm
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!
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!