[R] NeweyWest

I want to calculate Newey West robust standard error using NeweyWest. Comparing the results to what I get in STATA, in order to get the same results in I need to specify "prewhite=0". Can someone explain what this prewhite command means? Thanks [[alternative HTML version deleted]]

[R] maximum likelihood

Hello, I am trying to estimate parameters of mean reverting process with jumps given by: dp=k(mu-p)dt+sigma*dz+Jdq where dp represents change in log of price, k is reversion factor, mu is long run level of price, sigma is standard deviation, and dq equals one with probability lambda if jump oc

[R] Maximum likelihood estimation

Hello, I am struggling for some time now to estimate AR(1) process for commodity price time series. I did it in STATA but cannot get a result in R. The equation I want to estimate is: p(t)=a+b*p(t-1)+error Using STATA I get 0.92 for a, and 0.73 for b. Code that I use in R is: p<-matrix(data