how to calculate the long-run covariance matrix
Posted: Wed Nov 10, 2010 6:39 am
by tony
how to calculate the long-run covariance matrix using the Bartlett kernel as discussed by Newey and
West (1987)in EViews 6 or 7 version.Thank you very much!
Re: how to calculate the long-run covariance matrix
Posted: Wed Nov 10, 2010 9:18 am
by EViews Glenn
For what purpose? Long-run covariances are calculated automatically by a number of procedures simply by specifying Newey-West options.
If you wish to compute covariances for arbitrary data using EViews you really need to use EViews 7 which has dedicated tools for this. The Chapter on Groups in the User's Guide (Chapter 12, I think), has a section entitled, "Long-run Covariance" that might be the best place to start. :) There's even a step-by-step example replicating one of the Newey-West examples from Stock and Watson's textbook.