Datum: Mon, 25 Apr 2011 17:21:17 -0400 (EDT) Von: Allin Cottrell <cottrell(a)wfu.edu&gt; An: Gretl list <gretl-users(a)lists.wfu.edu&gt; Betreff: Re: [Gretl-users] Activating HAC does not work

On Mon, 25 Apr 2011, Artur Tarassow wrote: > 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... You're right, these won't work to produce HAC for a VAR. It's not exactly a bug, but a semi-deliberate decision ;-) That is, some time ago we replaced equation-by-equation estimation of VARs by a matrix method that does the whole thing in one go. At that time I rebuilt the HC variance estimator for the new method but I didn't bother rebuilding the HAC estimator. The reason (other than laziness) was that you'd generally expect a VAR to include enough lags to make HAC redundant. (Stock and Watson, for example, include several VARS in their undergraduate textbook and they always use a robust variance estimator, but they never use HAC for VARs: I asked them why not, and that's the answer they gave me.) Anyway, it's easy enough to re-enable HAC for VARs if anyone really wants it. But if I do so, what should the default be? Should VARs be treated like regular models on time-series data with regard to the --robust option (that is, HAC unless you "set force_hc on")? Or vice versa (with a new VAR-specific "set" variable, "force_hac")? What do people think?

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. 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