[R] A Problem while Calculating Newey-West HAC

Hsiao-nan Cheung niheaven at hotmail.com
Thu Nov 20 06:10:07 CET 2008

Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section
4.11, how does the last two equations' HAC calculate? I've tried several
groups of parameters in sandwich::NeweyWest, but I still cannot get the same
result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and
prewhite=TRUE yet, but...

Hsiao-nan Cheung

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