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brajkovic
2010 Jun 27
1
NeweyWest
I want to calculate Newey West robust standard error using NeweyWest. Comparing the results to what I get in STATA, in order to get the same results in I need to specify "prewhite=0". Can someone explain what this prewhite command means?
Thanks
[[alternative HTML version deleted]]
2008 Aug 12
2
Maximum likelihood estimation
...S-B",
lower = c(0, -Inf, -Inf),
upper = c(Inf, Inf, Inf))
The "result" I get is: " Error in optim(c(0, 0, 0), mle, method = "L-BFGS-B", lower = c(0, -Inf,:L-BFGS-B needs finite values of 'fn'"
Can somebody spot the mistake?
Many thanks,
Jurica Brajkovic