On Thu, Nov 10, 2022 at 12:03 PM Sven Schreiber
<sven.schreiber@fu-berlin.de> wrote:

No, not quite. Even if I force the bandwidth to 2 in Eviews (it would
automatically choose 4 here), and switch off the d.f. adjustment, the
standard errors do not match. (Coefficients do match.) I get 0.133099
and 0.140418 instead.

I guess the next question is: do the Newey-West results agree when
there are no missing values?

Yeah, good point of course. No, they don't. For some newly drawn sample data it's 0.125 vs. 0.114 (Eviews/gretl) and 0.1034 vs. 0.0889.

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.)

thanks

sven