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In R, the packages sandwich [6] and plm [12] include a function for the Newey–West estimator. In Stata, the command newey produces Newey–West standard errors for coefficients estimated by OLS regression. [13] In MATLAB, the command hac in the Econometrics toolbox produces the Newey–West estimator (among others). [14]
[4] A similar assessment can be also carried out with the Durbin–Watson test and the Ljung–Box test . However, the test is more general than that using the Durbin–Watson statistic (or Durbin's h statistic), which is only valid for nonstochastic regressors and for testing the possibility of a first-order autoregressive model (e.g. AR(1 ...
RATS: robusterrors option is available in many of the regression and optimization commands (linreg, nlls, etc.). Stata: robust option applicable in many pseudo-likelihood based procedures. [19] Gretl: the option --robust to several estimation commands (such as ols) in the context of a cross-sectional dataset produces robust standard errors. [20]
For example, in time series analysis, a plot of the sample autocorrelations versus (the time lags) is an autocorrelogram. If cross-correlation is plotted, the result is called a cross-correlogram . The correlogram is a commonly used tool for checking randomness in a data set .
[1] [2] Both describe the degree to which two random variables or sets of random variables tend to deviate from their expected values in similar ways. If X and Y are two random variables, with means (expected values) μ X and μ Y and standard deviations σ X and σ Y , respectively, then their covariance and correlation are as follows:
The instrument must be correlated with the endogenous explanatory variables, conditionally on the other covariates. If this correlation is strong, then the instrument is said to have a strong first stage. A weak correlation may provide misleading inferences about parameter estimates and standard errors. [3] [4]
There are many statistical packages that can be used to find structural breaks, including R, [17] GAUSS, and Stata, among others. For example, a list of R packages for time series data is summarized at the changepoint detection section of the Time Series Analysis Task View, [ 18 ] including both classical and Bayesian methods.
Suppose in period t − 1 the system is in equilibrium, i.e. =. Suppose that in the period t, disposable income Y t {\displaystyle Y_{t}} increases by 10 and then returns to its previous level. Then C t {\displaystyle C_{t}} first (in period t) increases by 5 (half of 10), but after the second period C t {\displaystyle C_{t}} begins to decrease ...