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st: Newey-West HAC estimators


From   "Lim, Elizabeth" <nxl091000@utdallas.edu>
To   "'statalist@hsphsun2.harvard.edu'" <statalist@hsphsun2.harvard.edu>
Subject   st: Newey-West HAC estimators
Date   Fri, 28 Oct 2011 04:51:11 +0000

Hello,

I'm trying to figure out the optimal lag selection for the Newey and West (1987, 1994) heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimator constructed using the Bartlett kernel.  

(1) Is there a rule of thumb for lag selection based on a panel sample size of around 14,200 firm-year observations?  
(2) What other criteria should I follow to select the appropriate lag lengths?

Thank you for your help.

Best,
Elizabeth


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