get_std_err {lpirfs}R Documentation

Compute standard errors by standard OLS or Newey and West

Description

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

Usage

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.

Value

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

Author(s)

Philipp Adämmer


[Package lpirfs version 0.2.4 Index]