[Gretl-users] Re: How to apply the HAC option in Gretl?
On Thu, 10 Nov 2022, Sven Schreiber wrote:
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.
Ah, ok, sorry. My earlier comment on eviews obviously doesn't apply then.
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.)
More likely, the two-sided bandwidth (but this is just a wild guess).
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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