[Gretl-users] Re: How to apply the HAC option in Gretl?
On Mon, Nov 7, 2022 at 12:29 PM Torbjørn Lorentzen
<torbjorn.lorentzen(a)outlook.com> wrote:
I'm a new user of Gretl. I'm using ols in the estimation of a time series model.
T want to us ethe HAC-option to correct for autocorrelation and heteroscedasticity. I
tried the robust option, but to what I can see it only corrects for heteroscedasticity?
Great if anyone could help me with the Gretl script for HAC and how to put it together
with the ols command. All suggestions are appreciated 😊
Hi Tobben. If you go to the menu item /Tools/Preferences/General
you'll see an "HCCME" tab. That lets you set your preferences for
robust covariance matrix estimation. Note that the HAC option is only
available when your dataset is recognized as time-series.
In scripting usage the relevant option is --robust. What exactly that
does depends on the aforementioned setting. But if the data are time
series gretl will use the HAC estimator by default. In that case you
should see a line like the following in the estimation output:
HAC standard errors, bandwidth 4 (Bartlett kernel)
Allin Cottrell