Hi,

 

If we have time series data, we can use HAC robust standard errors; however, with panel regression, the robust standard errors are Arellano or PCSE.  Is there a way using programming that we can do HAC for panel regression?  From what I have read, Arellano isn't as good at dealing with serial correlation.  Although I'm aware we can do dynamic panel regression, I'm fighting with lecturers who want students to use Eviews because you can use HAC for panel regression there.

 

Thank you

 

Alison

 

Alison Loddick

BSc MSc PGCE CStat

Learning Development Tutor (Mathematics and Statistics)

Library and Learning Services

DDI +44 (0)1604 893502

 

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