[Gretl-users] robust time-series inference with gappy data (was Re: Re: How to apply the HAC option in Gretl?)
Am 10.11.2022 um 20:57 schrieb Cottrell, Allin:
I can't do the Eviews comparison, but I've looked into R:
lm() for
estimation and NeweyWest() from the sandwich package for HAC standard
errors. Using the new HAC_ALLOW_MISSING setting, here's what I found:
Just as a general update to all users out there, Allin has worked hard
(as usual) to implement this functionality in gretl, and in the current
development source code it is there and working. (The original problem
was that when the time series contain gaps and thus observations are not
fully contiguous, computing Newey-West robust standard errors/covariance
estimates is not directly possible, so some more or less arbitrary but
justifiable workarounds have to be used.)
As always with gretl, this will be duly documented. It is not yet in the
current snapshots, I believe. We will probably ask you guys to test the
new feature when updated snapshots for Mac and Windows are available.
thanks
sven