Hi gretl community, I am just estimating some VAR models and would like to use robust standard errors. I am using the following lines to set up HAC: --------------------- set force_hc off #to make sure that HAC and not HC is used set hac_prewhiten off #Andrews-Monahan prewhitening and re-coloring #set hac_kernel bartlett #Alternative: Parzen kernel or QS #set hac_lag nw3 #default when prewhitening is selected var p Y --robust --------------------- But still the output uses HC instead of HAC: ---------------- I Current session: 2011-04-25 17:58 ? set force_hc off ? set hac_prewhiten off #Andrews-Monahan prewhitening and re-coloring #set hac_kernel bartlett #Alternative: Parzen kernel or QS #set hac_lag nw3 ? scalar q = 4 Replaced scalar q = 4 ? Mod3 <- var q Y --robust VAR system, lag order 4 OLS estimates, observations 1955:1-2010:4 (T = 224) Log-likelihood = 1712.7457 Determinant of covariance matrix = 7.8281352e-10 AIC = -15.1317 BIC = -14.8575 HQC = -15.0210 Portmanteau test: LB(48) = 166.795, df = 176 [0.6786] Equation 1: ws Heteroskedasticity-robust standard errors, variant HC1 ------------------------ I am not sure whether it's my fault or a bug. I am using the current cvs on Ubuntu 11.04. Best, Artur