Makosa Sanifu ya Newey-West HAC
Makosa sanifu ya Newey-West HAC, yaliyoanzishwa na Whitney Newey na Kenneth West mwaka 1987, hutoa kionyeshi cha matrixi ya kofaktori kwa regression ya OLS ambayo inabaki kuwa halali chini ya upendeleo na uhusiano mfululizo wa fomu isiyojulikana. Ni zana sanifu ya kusahihisha dhahania katika regression za mfululizo wa muda na paneli wakati masalio si i.i.d., ikihitaji hakuna uainishaji wa muundo wa kosa zaidi ya kuchagua kigezo cha upana.
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Vyanzo
- Newey, W. K., & West, K. D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703–708. DOI: 10.2307/1913610 ↗
Jinsi ya kunukuu ukurasa huu
ScholarGate. (2026, June 2). Newey-West HAC Standard Errors. ScholarGate. https://scholargate.app/sw/econometrics/newey-west-hac
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