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 |
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]