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| From | daniel klein <klein.daniel.81@gmail.com> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | Re: st: Newey-West(1987) |
| Date | Sun, 7 Apr 2013 10:35:54 +0200 |
It means the t-statistic is based on a standrad error that is robust against autocorrelation (and heteroskedasticity). Also see -help newey- Please read the FAQs on _full_ references. In this case just reading the title of the respective paper would have given you a hint to answer your question. Best Daniel Newey, W. K., and K. D. West. 1987. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55: 703–708. -- Hi All, Need help on Newey-West(1987). I read a papaers which says "the raw return difference between decile 10 and decile 1 is -1.03% per month with a corresponding Newey-West(1987) t-statistic of -2.83", what does is means? * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/