Hello everyone,
I want to test whether two mean variables are significant different from each other. In general, I would do a simple ttest. However, as I am conducting an asset pricing model and considering cross-sectional variation, I need/want to report Newey-West autocorrelation corrected t-statstics for this ttest. My question is hence: how can I combine a simple ttest and Newey-West t-statistics?
I there such a thing as as a Newey Ttest?
Thank you so much in advance for your help!
I want to test whether two mean variables are significant different from each other. In general, I would do a simple ttest. However, as I am conducting an asset pricing model and considering cross-sectional variation, I need/want to report Newey-West autocorrelation corrected t-statstics for this ttest. My question is hence: how can I combine a simple ttest and Newey-West t-statistics?
I there such a thing as as a Newey Ttest?
Thank you so much in advance for your help!
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