[R-SIG-Finance] A Problem while Calculating Newey-West HAC

[Hsiao-nan Cheung]

Hi,
Does anyone read Verbeek's "A Guide to Modern Econometrics"? In its Section
4.11, how does the last two equations' HAC calculate? I've tried several
groups of parameters in sandwich::NeweyWest, but I still cannot get the same
result. I've tried lag=2 and lag=3, as long as prewhite=FALSE and
prewhite=TRUE yet, but...

Sincerely
Hsiao-nan Cheung