function results=nwest(y,x,nlag)
% PURPOSE: computes Newey-West adjusted heteroscedastic-serial
% consistent Least-squares Regression
%—————————————————
Copyright By PowCoder代写 加微信 powcoder
% USAGE: results = nwest(y,x,nlag)
% where: y = dependent variable vector (nobs x 1)
% x = independent variables matrix (nobs x nvar)
% nlag = lag length to use
%—————————————————
% RETURNS: a structure
% results.meth = ‘newlyw’
% results.beta = bhat
% results.tstat = t-stats
% results.yhat = yhat
% results.resid = residuals
% results.sige = e’*e/(n-k)
% results.rsqr = rsquared
% results.rbar = rbar-squared
% results.dw = Durbin-Watson Statistic
% results.nobs = nobs
% results.nvar = nvars
% results.y = y data vector
% ————————————————–
% SEE ALSO: nwest_d, prt(results), plt(results)
%—————————————————
% References: Gallant, R. (1987),
% “Nonlinear Statistical Models,” pp.137-139.
%—————————————————
% written by:
% . LeSage, Dept of Economics
% University of Toledo
% 2801 W. ,
% Toledo, OH 43606
if (nargin ~= 3); error(‘Wrong # of arguments to nwest’); end;
[nobs nvar] = size(x);
results.meth = ‘nwest’;
results.y = y;
results.nobs = nobs;
results.nvar = nvar;
xpxi = inv(x’*x);
results.beta = xpxi*(x’*y);
results.yhat = x*results.beta;
results.resid = y – results.yhat;
sigu = results.resid’*results.resid;
results.sige = sigu/(nobs-nvar);
% perform Newey-West correction
emat = [];
for i=1:nvar;
emat = [emat
results.resid’];
hhat=emat.*x’;
G=zeros(nvar,nvar); w=zeros(2*nlag+1,1);
while a~=nlag+1;
ga=zeros(nvar,nvar);
w(nlag+1+a,1)=(nlag+1-a)/(nlag+1);
za=hhat(:,(a+1):nobs)*hhat(:,1:nobs-a)’;
ga=ga+za+za’;
G=G+w(nlag+1+a,1)*ga;
end; % end of while
V=xpxi*G*xpxi;
nwerr= sqrt(diag(V));
results.tstat = results.beta./nwerr; % Newey-West t-statistics
ym = y – ones(nobs,1)*mean(y);
rsqr1 = sigu;
rsqr2 = ym’*ym;
results.rsqr = 1.0 – rsqr1/rsqr2; % r-squared
rsqr1 = rsqr1/(nobs-nvar);
rsqr2 = rsqr2/(nobs-1.0);
results.rbar = 1 – (rsqr1/rsqr2); % rbar-squared
ediff = results.resid(2:nobs) – results.resid(1:nobs-1);
results.dw = diag((ediff’*ediff)./(sigu))’; % durbin-watson
程序代写 CS代考 加微信: powcoder QQ: 1823890830 Email: powcoder@163.com