In Plyr, how to return an specific newey west standard error within a function


0 votes
asked Mar 16, 2016 by mccuist (250 points)
I am trying to run several regressions by group and extract coefficients and standard errors. For simple OLS, I used following code to return CON standard error:plyrFunc. This still exports to the global scope

5 Answers

+1 vote
answered Jun 2, 2016 by volkert (910 points)
selected Jun 4, 2016 by aball
+1 vote
answered May 8, 2016 by Rkg_so (1,070 points)

Both the average slope and its standarddeviation will be reported.
commented May 9, 2016 by actual (550 points)
This looks incomplete
–1 vote
answered Jun 2, 2016 by Jry4340 (440 points)

This value is an estimate of the mean function for target point. These standard errors alsoturn out to be smooth high dimensional functions.

Check out Trading With a "t" Signal Extraction Using Non-Parametric Newey-West Style t-statistics templates feature does pretty much what you want
0 votes
answered Jun 2, 2016 by symbols (140 points)
I encountered this same problem in an app that had very minimal use of sessions
I have had a look at Title stata.com regress Linear regression which helped understand part of the process
0 votes
answered Jun 2, 2016 by Silveria (140 points)
I also tried this https://www.statcon.de/shop/en/software/econometrics/eviews and that worked even worse

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