Newey-West coefficient standard errors: (a) Explain why (repeating Equation 16.17 from page 489) here b is the OLS coefficient vector and V t (b) = x t (Yt - x t ’ b). (Hint: Show that these are...

Newey-West coefficient standard errors:

(a) Explain why (repeating Equation 16.17 from page 489)

here b is the OLS coefficient vector and V_t(b) = x
_t(Yt - x_t’ b). (Hint: Show that these are simply the OLS estimating equations.)

(b) Apply Newey and West’s procedure to compute HAC standard errors for the OLS coefficients in Fox and Hartnagel’s time-series regression. Do the results differ from those employing the usual OLS standard errors? Do the results differ from those obtained by GLS?