[19062] in s-news-athena
[S] HAC / Newey West
daemon@ATHENA.MIT.EDU (Jonathon_Lewis@putnaminv.com)
Fri Aug 27 13:50:14 1999
From: Jonathon_Lewis@putnaminv.com
To: s-news@wubios.wustl.edu
Message-Id: <852567DA.006134A9.00@pismtpmta01.putnaminv.com>
Date: Fri, 27 Aug 1999 13:43:31 -0400
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Hello:
I am running a regression that is both cross-sectional, time-series, and has
overlapping time periods. I am wondering if anyone has created an lm() function
that adjusts for the overlap period by applying the Newey-West correction to the
residuals. This should increase the residuals and lower the t-stats. It would
be a tremendous help if anyone has already created such a function, as it is a
fairly common problem in the field of finance.
Thanks,
Jonathon
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