Extract country-specific LS coefficient estimates with Newy-West robust covariance.
Extract country-specific LS coefficient estimates with Newy-West robust covariance.
getNWCOEF(out,sheet)
out |
A list object of estimation results generated by GVARest. |
sheet |
The number of country in out that is to be saved. |
coef |
Country-specific coefficient estimates. |
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Newey WK and West KD (1994) Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies,61,631-653.
data("PriceVol")
data("tradeweight1")
data("tradeweightx")
p=2
FLag=2
lag.max=15
type="const"
ic="SC"
weight.matrix=tradeweightx
mainOUTPUT = GVARest(data=PriceVol,p,FLag,lag.max,type,ic,weight.matrix)
COEF=getNWCOEF(out=mainOUTPUT,sheet=1)Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.