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  #1  
Old Thursday, May 07, 2009
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@saleem, qurat ul ain, sureshlahi, astute accountant, Raz and all members and mods

i need help regarding a problem on econometrics. i want to know how the Newey-West method of heteroskadisticity autocorrelation consistent estimates are calculated (i mean theoratically). and also if we estimate a regression through this method, then do we need to check for the autocorrelation and heteroskadisticty separately or to take remedial measures for those.

in this regard if u know any website that could help, please suggest.


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Old Thursday, May 07, 2009
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Here are the links that contain your desired information:

http://www.socserv.mcmaster.ca/magee...0and%20GLS.pdf

http://www.ucd.ie/economics/staff/ld...ecture%203.pdf

Hope that helps!
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Old Thursday, May 07, 2009
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@astute accountant

brother one of ur provided link was not working (1st one). while the 2nd link was just a lecture outline with no detail.

however thanks for ur help.

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Old Friday, May 08, 2009
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Quote:
Originally Posted by newstudent
plz help or at least say something.(especially those i named in the 1st post)

See following links, these might help you in your purpose:

http://socserv.mcmaster.ca/magee/761...0and%20GLS.pdf

http://books.google.com.pk/books?id=...esult&resnum=4


http://www.nber.org/papers/t0183.pdf

http://individual.utoronto.ca/vaguir...pt#331,1,Slide 1

http://www.math.canterbury.ac.nz/~m....324/Topic2.pdf

http://mba.tuck.dartmouth.edu/pages/..._err_note4.pdf

http://www.arts.cornell.edu/econ/kie...orthcoming.pdf

http://www.statistics.gov.uk/methods...MAC9Paper1.pdf
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Old Saturday, May 09, 2009
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Originally Posted by newstudent
@astute accountant

brother one of ur provided link was not working (1st one). while the 2nd link was just a lecture outline with no detail.
The first link does work. Try again. There might be some problem with your browser.
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