You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hey man great!!!! This is a great topic in econometrics but i could not find any great excel resources on it. This is a great addition to my learning!!
Great video!! But I have a little confusion. In the W formula, there is a term [T/(T-k)] multiplied to the error matrix and max function, but I did not see you multiply that [T/(T-k)] term. Thank you for this video btw
Hi NEDL, briliant content - just have a question, if i were to model a GARCH (1,1) model of the residual of a regression and assess HAC for the params, does the alpha and beta term from the GARCH model fall under the design matrix and can i use the same process as in the video to evaluation GARCH params? Thanks
Hi, and glad you enjoyed the video! The "W" is a weight matrix which is quite universal across all robust standard error estimators. This particular one comes from Newey and West (1987), and here is the non-paywalled working paper PDF: www.nber.org/system/files/working_papers/t0055/t0055.pdf
I ussually deal with Regression analysis tools and this is a bit confusing, can you show me how to use regression to correct the serial correlation in my data? I have DW less than 2 meaning that the present of serial correlation exists!
Hi Ghulam, and thanks for the suggestion! I have got several video on higher-order moments and their application to investment management, for example here I discuss MVaR for performance evaluation (ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-qvQ4gUiC1yU.html), and here I show the impact of skewness and kurtosis on investor utility (ru-vid.com/video/%D0%B2%D0%B8%D0%B4%D0%B5%D0%BE-skmYLg7vk3g.html).
Is there a way to find out corrected f-statistic through this. As t sq follows f distribution, we can calculate f-statistic through the t-statistic in simple regression model. Is there a way to do so in multiple regression as well?
Hi I really liked your video. I have to write about this topic for the university. Therefore, could you name me the source of the algorithm to calculate the weights? With the max() expression.
