[R-SIG-Finance] Vector autoregression with Newey-West standard errors

[Liviu Andronic]

Dear Matthieu,

On 6/10/09, Matthieu Stigler <matthieu.stigler at gmail.com> wrote:
> by:
>>        attr(equation[[colnames(yend)[i]]]$terms, "intercept") <- 0
>
> instead of:
>>        attr(equation[[colnames(yend)[i]]]$terms, "intercept") <- NULL
>
Replacing "1" (in the published package) with "0" indeed solves my issue. Now,

> coeftest(temp.varest.lm, df = Inf, vcov = vcovHC)

z test of coefficients:

                   Estimate Std. Error z value Pr(>|z|)
yldave3.l1           0.9294     0.0685   13.57   <2e-16 ***
spread5.l1           0.0273     0.1245    0.22     0.83
gdpc1LogRetLag1.l1   0.0632     0.0433    1.46     0.14
const                0.2347     0.3786    0.62     0.54
---
Signif. codes:  0 ‘***’ 0.001 ‘**’ 0.01 ‘*’ 0.05 ‘.’ 0.1 ‘ ’ 1


Thanks a lot for you help. Best,
Liviu