Which of the following is NOT true of Newey-West standard errors?
A)allows valid inference despite the presence of serial correlation
B)does not require knowledge of structure of serial correlation
C)valid when estimated using stationary data
D)always produce smaller standard error estimates,which makes them the BLUE estimator

Question

Quizplus · Accepted Answer

Newey-West standard errors do not always produce smaller standard error estimates and are not the BLUE estimator. The other options (A,B,C) are true of Newey-West standard errors.

Which of the Following Is NOT True of Newey-West Standard