Re: [Gretl-users] 2SLS without HAC standard errors
On Fri, 1 Jun 2012, Anutechia Asongu wrote:
My 2SLS results without HAC standard errors are promising whereas
those with HAC standard errors are not. Hitherto, I have been used
to robust HAC standard errors in my estimations. I'll like to
enquire if a sound case could be made for presenting results
without HAC standard errors.
If in tests for heteroskedasticity and autocorrelation the null is
not rejected, one could argue that HAC estimation is just
introducing noise. On the other hand, if the HAC standard errors
differ substantially from the "classical" ones, that suggests that
the errors are not i.i.d.
Allin Cottrell