Newey-West Standard Errors

annaland · August 27th, 2007, 2:42 pm

Hi,Im looking for the appropriate criterion to determine lag length for the Newey-West standard errors. Can anyone recommend a source? Thanks in advance.AnnaI'm using Greene's Econometrics text but am confused about his notation.

Tadragh1 · August 28th, 2007, 10:00 am

Check out Davidson MacKinnnon, they provide a simple rule of thumb for it. I do not have the book with me now, so I can't quote it here, though.

annaland · August 29th, 2007, 12:49 am

Thanks! I don't have the book but will try to get a hold of it. Any chance it's just (# of observations)^(1/4)th power?

miscelania · June 25th, 2012, 1:26 pm

QuoteOriginally posted by: annalandHi,I?m looking for the appropriate criterion to determine lag length for the Newey-West standard errors. Can anyone recommend a source? Thanks in advance.AnnaI'm using Greene's Econometrics text but am confused about his notation.Hello,I currently have the same question as you did: I do not konw the criterion to determine the lag length for Newey West standard errors.I do not know if anybody could take al look at the mentioned reference (I do not have this book) and could please give a piece of advice concerning the issue.Thanks,