[DOC bugs] GMM HAC
Posted: Thu Oct 16, 2008 4:02 am
Consulting the original paper, the following equations may have typos
User guide II (ver: Nov 13, 2007), P340-341
eq33.8, should be K(j,q)=1-j/(q+1), note that the denominator should be q+1
eq33.43, add square to the LHS, should be a(p)=(l'F(p)l/(l'F(0)l))^2
eq33.45, if the corresponding first lines of Table II-C of Newey-West (1994) is used, for QS kernel, L=[3(T/100)^(2/25)], not L=T.
User guide II (ver: Nov 13, 2007), P340-341
eq33.8, should be K(j,q)=1-j/(q+1), note that the denominator should be q+1
eq33.43, add square to the LHS, should be a(p)=(l'F(p)l/(l'F(0)l))^2
eq33.45, if the corresponding first lines of Table II-C of Newey-West (1994) is used, for QS kernel, L=[3(T/100)^(2/25)], not L=T.