Subject: | XploRe Application Guide |
See XploRe: | neweywest |
Quantlet: | longmem01 | |
Description: | calculates Newey and West estimates of the variance for DM/US exchange rates dataset | |
Download: | longmem01.xpl |
library("times") y = read("dmus58.dat") y = y[1:2000] q = 5|10|25|50 sigma = neweywest(y,q) q~sigma
Subject: | XploRe Application Guide |
See XploRe: | neweywest |