[Gretl-users] Re: How to apply the HAC option in Gretl?

Am 09.11.2022 um 13:30 schrieb Riccardo (Jack) Lucchetti: > On Tue, 8 Nov 2022, Sven Schreiber wrote: > >> >> Maybe this way of handling it is preferable, given that other >> alternatives will also be imperfect. But there is some arbitrariness >> involved in the approach of Eviews. > > Granted, there is, but I guess it's better than nothing, provided the > user is notified appropriately. > > > I'm getting the following output: > > <output> > Model 1: OLS, using observations 1-64 (T = 53) > Missing or incomplete observations dropped: 11 > Dependent variable: y > HAC standard errors, bandwidth 2 (Bartlett kernel) > > coefficient std. error t-ratio p-value > -------------------------------------------------------- > const -0.536282 0.122625 -4.373 6.05e-05 *** > x -0.0521759 0.175615 -0.2971 0.7676 > ... > > Sven (or any other): could you cross-check against eviews to see if > results match? > 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.