var_one function

Compute VAR to prewhite estimating functions for Newey West estimator.

Compute Newey-West estimator with prewhitened estimation functions.

var_one(VAR_Data)

Arguments

• VAR_Data: Matrix.

Returns

A list. The first element contains the slope parameters of the VAR(1), the sedond element contains the residuals and the third element the inverted slope parameter matrix.

References

Andrews, D.W. and Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, pp.953-966.

Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.