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.)