[R-SIG-Finance] Robust standard error for a time series mean.
klein82517 at yahoo.de
Sun May 16 01:10:13 CEST 2010
I have a non-stationary time series of returns and I would like to calculate the standard error for the mean of that series.
When I use the White-estimator or assume constant variance I got the same results. When I use the Newey-West-estimator, which also cares about autocorrelation, the standard errors increase a lot.
1. What is the right estimator?
2. Is the Newey West estimator strongly affected by the non-stationarity?
Does anyone have any literature source or a link to a paper or something like that?
I hope someone can help me.
Thank you in advance.
More information about the R-SIG-Finance