Thus, if you have a horizon of 7 and you want the first seven lags to have weights using a Bartlett kernel, you should set a user-specified bandwidth of 8. Note, for example, that if you specify a bandwidth of 7, then the weights in the Bartlett kernel associated with the first 7 lags are: Note that the bandwidth you want for a given horizon is going to depend on the kernel. I should point out that even if you know your horizon, you are going to have to figure out the desired bandwidth corresponding with your horizon. (Note that some kernels (for example, the Quadratic Spectral) have support over the entire range of lags so that even if you specify a bandwidth smaller than your horizon, the higher lags appear in the calculation (albeit with smaller weights).) The automatic Newey-West lag-selection parameter option sets the number of lags used in the automatic bandwidth selection procedure, which isn't what you appear to want. I'm not certain why this is the goal, but in that case you are going to want to set a user-specified bandwidth. It sounds as though you want the bandwidth for your kernel estimator to at least be as large as the lag on the regressor variable (which you are terming the horizon). I'm not certain that I quite understand what you are asking, but let me take a crack.
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