[Gretl-users] Re: Newey west standard errors

On 15/03/2026 05:50, Ramki S wrote: > Dataset: > https://raw.githubusercontent.com/srk7774/data/refs/heads/master/table10.... > > > > Hi, > > Is there anyway we can get newey-west standard errors in gretl? HAC > robust errors are differing slightly with textbook result. > Hi, thanks for testing. First of all, it must be said that, when it comes to robust estimation, there are tons of slightly different ways to do things and a single different detail can affect the results visibly (especially in a small sample like the one you're considering). Take a look at Chapter 22 of the gretl User's Guide. Judging by the formatting of the output, it looks as if Gujarati and Porter are using Eviews; if that was true, I don't know what the precise formulae Eviews used, so... However, they seem to use a lag truncation parameter equal to 3, rather than the automatic value used by gretl, which is 2 in this case. You may want to use the "set hac_lag" command. But even in that case, result don't match exactly, although they qualitatively do.