Bookmark and Share

Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at

[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]

st: Newey-West HAC estimators

From   "Lim, Elizabeth" <>
To   "''" <>
Subject   st: Newey-West HAC estimators
Date   Fri, 28 Oct 2011 04:51:11 +0000


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.


*   For searches and help try:

© Copyright 1996–2018 StataCorp LLC   |   Terms of use   |   Privacy   |   Contact us   |   Site index