could you please help me to understand when I should use either white or newey-west standard erros?
I do work with time-series data. I look at both contemporaneous and intertemporal realtionships.
My understanding is that NW s.e. are appropriate when I look at an intertemporal realtionship and one variable is constracted using overalapping observations.
example I have y(t) and x(t) for t=1,...,T.
I construct y3(t) as y(t) + y(t+1) + y(t+2) for t=2:T-2, and then I regress y3(t+1) on x(t).
For this kind of regressions, it is common to use NW s.e., in particular if x is highly persistent.
Can you please help me to understand more in general how to choose between White and NW s.e. (or other s.e. appropriate for time-series analysis)?
Thanks a lot!