Howtosignalprocessing
- How to interpret Newey-West?
- Why do we use Newey-West standard errors?
- Does Newey-West change coefficients?
- What is HAC standard error?
How to interpret Newey-West?
. This means that as the time between error terms increases, the correlation between the error terms decreases. The estimator thus can be used to improve the ordinary least squares (OLS) regression when the residuals are heteroskedastic and/or autocorrelated.
Why do we use Newey-West standard errors?
Newey-West standard error method is a robust method/estimator which is very accurate when there is presence of heteroskedasticity and autocorrelation. Also, when in the panel model there is a lagged value of an indicator then this method is very consistent.
Does Newey-West change coefficients?
Newey-West estimators adjust how the standard errors of the regression coefficients are calculated, but not the standard error of the model (eg. square root of the mean square error).
What is HAC standard error?
(HAC) Standard Errors
Consider a generalization of the distributed lag model, where the errors ut are not necessarily i.i.d., i.e., Yt = β0 + β1Xt + … + βr+1Xt–r + ut . • Suppose that ut is serially correlated; then, OLS will still. yield consistent* estimators of the coefficients.
