On Thu, 10 Nov 2022, Sven Schreiber wrote:

Results are much closer when I let Eviews do "Newey-West fixed bandwidth = 4.0000". Could it be that gretl's parameter terminology uses the square root of what Eviews does? (Bartlett kernel in both cases.)

More likely, the two-sided bandwidth (but this is just a wild guess).

Ah, I got it now. The Eviews documentation says "the bandwidth is equal to one plus what Stock and Watson term the 'truncation parameter' m". So I set it to 3 in Eviews (given the 2 in gretl), and still no d.f. correction. Then the results are the same for Eviews and gretl, without missing data.

With the gappy data I still have  mismatch even under the new bandwidth parameter. I now have with Eviews 0.1274 and 0.1444. (Where Jack's results were 0.1226 and 0.1756.)

But I haven't tried to understand what you, Jack, did - did you also try to replace the missing residuals with zeros?

cheers

sven