[Gretl-users] Re: How to apply the HAC option in Gretl?
Am 10.11.2022 um 18:32 schrieb Cottrell, Allin:
On Thu, Nov 10, 2022 at 12:03 PM Sven Schreiber
<sven.schreiber(a)fu-berlin.de> wrote:
>
> No, not quite. Even if I force the bandwidth to 2 in Eviews (it would
> automatically choose 4 here), and switch off the d.f. adjustment, the
> standard errors do not match. (Coefficients do match.) I get 0.133099
> and 0.140418 instead.
I guess the next question is: do the Newey-West results agree when
there are no missing values?
Yeah, good point of course. No, they don't. For some newly drawn sample
data it's 0.125 vs. 0.114 (Eviews/gretl) and 0.1034 vs. 0.0889.
Results are much closer when I let Eviews do "Newey-West fixed bandwidth
= 4.0000". Could it be that gretl's parameter terminology uses the
square root of what Eviews does? (Bartlett kernel in both cases.)
thanks
sven
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