关于Newey-West Standard Errors的一个讨论

Newey-West Standard Errors

Hi,

I am looking for the appropriate criterion to determine lag length for the Newey-West standard errors. Can anyone recommend a source?

Thanks in advance.
Anna

I'm using Greene's Econometrics text but am quite dissatisfied with his notation, which is why I'm confused about lag determination and not sure if AIC/SIC applies to Newey-West.

Help!

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Posted by james_bond_3rd on 08-27-07 03:49 AM:

"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," by Mitchell A. Petersen
http://weatherhead.case.edu/bafi/Do...tersenpaper.pdf

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Posted by annaland on 08-27-07 04:03 AM:

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Quote from james_bond_3rd:

"Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches," by Mitchell A. Petersen
http://weatherhead.case.edu/bafi/Do...tersenpaper.pdf

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Thanks! Unfortunately, I'm not using Panel data (I'm neither testing nor adjusting for fixed or random effects); I'm using GMM on Time Series...

I think it either the number of observations to the 1/4th power or it's 1/4 * (number of observations raised to the 1/3rd power), but definitely not AIC/SIC as I previously stated

... not quite sure...

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Posted by james_bond_3rd on 08-28-07 08:57 PM:

Now I'm lost by what you said. What is the 1/4 power? Never heard of it.

For a moment I was puzzled by your AIC/SIC comment but realized that you meant Akaike and Bayesian Information Criteria (AIC/BIC). Why don't you think that they would work? Did you try DIC (Deviance Information Criterion) which is easier to calculate?

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Posted by NoWorries on 08-28-07 09:34 PM:

Re: Newey-West Standard Errors

Newey and West discuss some alternatives in:

Newey & West (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, v61, n4 (October 1994): 631-53.

see also: http://cran.r-project.org/doc/vigne...ch/sandwich.pdf

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Quote from annaland:

Hi,

I抦 looking for the appropriate criterion to determine lag length for the Newey-West standard errors. Can anyone recommend a source?

Thanks in advance.
Anna

I'm using Greene's Econometrics text but am quite dissatisfied with his notation, which is why I'm confused about lag determination and not sure if AIC/SIC applies to Newey-West.

Help!

---

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Posted by annaland on 08-29-07 03:13 AM:

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Quote from james_bond_3rd:

Now I'm lost by what you said. What is the 1/4 power? Never heard of it.

For a moment I was puzzled by your AIC/SIC comment but realized that you meant Akaike and Bayesian Information Criteria (AIC/BIC). Why don't you think that they would work? Did you try DIC (Deviance Information Criterion) which is easier to calculate?

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The 1/4th power comes from Greene's Econometric Analysis (5th Edition) book, where he talks about Newey-West and I'm pretty sure he's referring to lag length. But I have a hard time staying with his notation and therefore get confused with the derivations. I don抰 have the time (or desire) to go through the chapter and re-derive his estimators.

The only reason I suspect AIC/BIC won抰 work is because Greene doesn抰 mention it and therefore, I think there may be a more robust criterion. I抦 not too familiar with DIC, but I can look it into it. Thanks.

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Posted by sjfan on 08-29-07 12:02 PM:

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Quote from annaland:

The 1/4th power comes from Greene's Econometric Analysis (5th Edition) book, where he talks about Newey-West and I'm pretty sure he's referring to lag length. But I have a hard time staying with his notation and therefore get confused with the derivations. I don抰 have the time (or desire) to go through the chapter and re-derive his estimators.

The only reason I suspect AIC/BIC won抰 work is because Greene doesn抰 mention it and therefore, I think there may be a more robust criterion. I抦 not too familiar with DIC, but I can look it into it. Thanks.

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I hate to be a jerk and give you citations, but it's been a very long time since I looked over Newey-West and I don't want to give you the wrong information. These two, I think, are the original papers (which means, of course, they will completely suck - but at least you can scan it quickly for 1/4 - or just read the abstract like everyone else):

Newey WK & West KD (1987), A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica, 55, 703�708.

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Posted by annaland on 08-29-07 04:55 PM:

Thanks for the replies. The number of lags is dependent on the process (moving average or autoregressive) and the order of autocorrelation that is significant. Generally, T^1/4 is the rule of thumb and experimentation is a good way to decide at which level lags can be ignored - where T is the # of observations. Newey and West extend White (1980) approach and provide great detail, which I am not interested in. For my purposes, I will be using the rule of thumb. Thanks again for the replies and interest.