Covariance Matrix Estimators

• Newey-West errors (Bartolini & Kramer, Jun95)
• Newey and West 1994 covariance matrix (Wong, Jun95) computes the covariance matrix nonparametrically. Choices of kernels include Bartlett, Truncated and Quadratic Spectral. An example program demonstrates the use of these procedures.
• West 1994 Covariance Matrix (Wong, Jun95) computes the covariance matrix nonparametrically by ARMA regression of the residuals. An example program demonstrates the use of these procedures.