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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
Code:
  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
© MD*Tech - Method and Data Technologies, generated on 19.7.2000 .