get_std_err function

Compute standard errors by standard OLS or Newey and West

Compute standard errors by standard OLS or Newey and West (1987).

get_std_err(yy, xx, lag_nw, k, specs)

Arguments

• yy: A matrix with all endogenous variables.
• xx: A matrix with lagged endogenous variables.
• lag_nw: Integer. Number of lags for Newey and West
• k: Integer. Value of column to choose from
• specs: A list with specifications from lp_lin or lp_nl .

Returns

List. First element contains the estimated standard errors, the second element contains the OLS point estimates.

Author(s)

Philipp Adämmer