6 нояб. 2017 г. · The type="HC1" option in the second line produces White's HC standard errors with a small-sample adjustment of n/(n-k); the adjust=TRUE option ...

31 янв. 2019 г. · I have fitted a VAR model in R (with function VAR) and would like to use HAC corrected standard errors. How is that possible?

5 июл. 2016 г. · Then, what HAC standard errors estimate is the square root of the "long run variance", given by: limT→∞{Var[√T(ˉYT−μ)]}=limT→∞{TE(ˉYT−μ)2}=γ0+2∞ ...

16 февр. 2020 г. · Is there a package/code for generating robust Heteroskedasticity- and autocorrelation-consistent (HAC) standard errors for mixed-effects models ...

9 янв. 2017 г. · The term robust standard errors is sometimes used as an umbrella term for HC, HAC, and other sandwich standard errors.

10 дек. 2010 г. · To get the correct results HAC standard errors are calculated. All the methods for HAC errors calculate diag(E(X′X)−1X′uu′X(X′X)−1). They ...

11 дек. 2020 г. · The theory of HAC errors is asymptotic, so in principle it works better if you have a large sample. Otherwise there's no guarantee that the ...

4 янв. 2017 г. · Be aware that the NeweyWest function performs a procedure called prewhitening before actually computing the HAC standard errors. This is done in ...

31 мая 2022 г. · Is there a way for generating Heteroskedasticity- and autocorrelation-consistent (HAC) standard errors for panel linear model with two fixed effects?

4 дня назад · The test results indicated the presence of both autocorrelation and heteroskedasticity. Therefore, I chose to use HAC (Newey-West) standard ...