[Gretl-users] Re: robust time-series inference with gappy data (was Re: Re: How to apply the HAC option in Gretl?)
Thank a lot to Allin and Sven for the programming work and making Gretl more flexible 😊 I
presume the new feature is implemented in the Gretl 2022c-version.
Torbj.
-----Opprinnelig melding-----
Fra: Sven Schreiber <sven.schreiber(a)fu-berlin.de>
Sendt: 4. januar 2023 14:25
Til: gretl-users(a)gretlml.univpm.it
Emne: [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
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