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

Liviu Andronic landronimirc at gmail.com
Wed Jun 10 23:26:52 CEST 2009


On 6/10/09, Liviu Andronic <landronimirc at gmail.com> wrote:
> Replacing "1" (in the published package) with "0" indeed solves my issue. Now,
>
Warning, though. This fix can generate incorrect R squared, degrees of
freedom and F-statistics when the `varest' fit is summarised. See the
changelog of the package (for the end 2008).
Liviu



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