newey west estimator
Posted: Tue Oct 28, 2014 4:52 pm
Hi, Tom. If my sample is at monthly frequency. How can I know the number of lags I should use? Thank you for your help
There's no specific number. The standard widths depend upon the number of data points rather than the frequency. In certain applications, the residuals are known to follow an MA(q) process so you can use that.
You might want to look at the Martin-Hurn-Harris example MHHP335.RPF, which shows several ways to come up with a window width.