Re: [Gretl-users] Activating HAC does not work
On Tue, 26 Apr 2011, Riccardo (Jack) Lucchetti wrote:
On Tue, 26 Apr 2011, Sven Schreiber wrote:
> I tend to think it should be _possible_ to use HAC with VARs for
> demonstration purposes, even if it may not be wise to use them for real
> applications.
>
> The robust default should probably be the "wise" one, i.e. HC but not
> HAC. However, there may also be a case to treat all time-series models
> alike, as you mention.
I agree with Sven. Besides, it is entirely possible that you have
heteroskedasticity in a well-specified VAR, so some form of adjustment may
be necessary after all.
Heteroskedasticity is handled OK: --robust works for VARs,
producing one or other variant of HC* depending on the "set"
options. The problem Artur indicated was that you can't activate
Newey-West for VARs, although it's the default for single-equation
OLS models on time-series data (unless "force_hc" is turned on).
I think maybe the simplest and most backward-compatible thing to
do here is (a) leave plain HC as the --robust default for VARs (as
it has been for quite a while now), but (b) introduce a --hac
option specific to VARs that enables Newey-West if you need it.
(Oh, and (c): update the documentation.)
Does this sound OK?
Allin