15 мая 2024 г. · I want to estimate a fixed effects model (with both country- and year fixed effects) and ADDITIONALLY apply HAC standard errors.

16 апр. 2022 г. · I need to solve the issue of serial correlation in a within-model. I calculated the regression with country- and year-fixed effects and then calculated robust ...

9 июн. 2020 г. · If you want to get your HAC covariance matrix you should estimate your VAR Model with dynlm() for example. The lm object is okay for vcovHAC.

20 мая 2024 г. · I have read, that it is common to use robust standard errors, when estimating a simple OLS model and to use clustered standard errors when estimating a fixed- ...

15 нояб. 2015 г. · The error is from out[,2]$hacse. The out[,2] part returns a vector and you cannot use $ to access components of a vector.

26 апр. 2018 г. · I want to replace the standard error by HAC estimator with some conventional truncated value as the lag variable.

2 мая 2015 г. · I want to use HAC by NeweyWest ie coeftest(m1, vcov=NeweyWest) I get the following error message and I do not know why: Error in na.fail.default(as.ts(x)) :

31 авг. 2020 г. · We use HAC to solve problem with autocorrelation and heteroscedasticity, and to do so we use vcovHAC() function from sandwich package.

14 янв. 2016 г. · How can I configure this function to work with the HAC matrix? Specifically, what should I put in the out line to make the vcovHAC configuration ...

18 дек. 2018 г. · I need to use robust standard errors (HC1 or so) since tests indicate that there might be heteroscedasticity. This is not so flamboyant after ...