Programming the statistical procedures from SAS

Newey-West correction of standard errors

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Newey-West correction of standard errors

How to determine kernels between Bartlett, Parzen, and Quadratic? I find out it determines on convergence but I can't decide it on my raw data. 

 

KERNEL=(PARZEN I QS丨BART, c, e)

I don't know how to determine on c,e. I find some papers says that it determines on the meaning of the data but they didn't explain it clearly. Are there some tests which can be used to solve the problem?


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‎05-08-2017 02:06 PM
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Posts: 10,871

Re: Newey-West correction of standard errors

Since KERNEL appears in multiple procedures you may want to at least mention the procedure you are contemplating.

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‎05-08-2017 02:06 PM
Super User
Posts: 10,871

Re: Newey-West correction of standard errors

Since KERNEL appears in multiple procedures you may want to at least mention the procedure you are contemplating.

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