Newey–West estimator
A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model when this model is applied in situations where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation (also called serial correlation), and heteroskedasticity in the error terms in the models, often for regressions applied to time series data. The abbreviation "HAC," sometimes used for the estimator, stands for "heteroskedasticity and autocorrelation consistent."
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AutocorrelationClustered standard errorsCochrane–Orcutt estimationHACHeteroscedasticity-consistent standard errorsKenneth D. WestList of Wesleyan University peopleList of statistics articlesNewey-West HAC estimatorNewey-West estimatorNewey WestNewey–West HAC estimatorRegression analysisTime seriesWhitney K. Newey
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Newey–West estimator
A Newey–West estimator is used in statistics and econometrics to provide an estimate of the covariance matrix of the parameters of a regression-type model when this model is applied in situations where the standard assumptions of regression analysis do not apply. It was devised by Whitney K. Newey and Kenneth D. West in 1987, although there are a number of later variants. The estimator is used to try to overcome autocorrelation (also called serial correlation), and heteroskedasticity in the error terms in the models, often for regressions applied to time series data. The abbreviation "HAC," sometimes used for the estimator, stands for "heteroskedasticity and autocorrelation consistent."
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A Newey–West estimator is used ...... rix is positive semi-definite.
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El estimador de Newey-West se ...... apropiado) a la matriz finita.
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Nella statistica e nell'econom ...... ython, dal modulo statsmodels.
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O estimador de Newey-West util ...... \ell }=1-{\frac {\ell }{L+1}}}
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Стандартные ошибки в форме Нью ...... дартных ошибок в форме Уайта).
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A Newey–West estimator is used ...... d autocorrelation consistent."
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El estimador de Newey-West se ...... as series temporales de datos.
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Nella statistica e nell'econom ...... la popolazione di riferimento.
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O estimador de Newey-West util ...... s séries temporárias de dados.
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Стандартные ошибки в форме Нью ...... дартных ошибок в форме Уайта).
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Estimador de Newey-West
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Estimador de Newey-West
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Newey–West estimator
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Stimatore di Newey–West
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Стандартные ошибки в форме Ньюи-Уеста
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