newey_west_c

<p>Compute OLS parameters and robust standard errors based on Newey and West (1987).
The function is based on the Matlab code by James P. LeSage.</p>

Contains functions to estimate linear and nonlinear impulse
responses based on local projections by Jord<c3><a0> (2005) <doi:10.1257/0002828053828518>.
Nonlinear impulse responses are estimated for two regimes based on
a transition function as used in Auerbach and Gorodnichenko (2012) <doi:10.1257/pol.4.2.1>.

Philipp Ad<c3><a4>mmer

lpirfs

newey_west_c: Compute OLS parameters and robust standard errors based on Newey-West estimator

Description

Usage

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References