Re: [Gretl-users] Activating HAC does not work

On Tue, 26 Apr 2011, Allin Cottrell wrote: > 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). Ah, ok then. > 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. Sounds fine to me. > (Oh, and (c): update the documentation.) Of course. Riccardo (Jack) Lucchetti Dipartimento di Economia Università Politecnica delle Marche r.lucchetti(a)univpm.it http://www.econ.univpm.it/lucchetti _______________________________________________ Gretl-users mailing list Gretl-users(a)lists.wfu.edu http://lists.wfu.edu/mailman/listinfo/gretl-users