HAC-corrections

asked 2014-01-06 09:02:00 +0000

Pantera gravatar image

updated 2014-01-08 08:38:07 +0000

Hi all,

To eliminate or reduce the influence of potential autocorrelated and heteroscedastic residuals and to obtain unbiased standard errors, it is possible to use HAC (Newey-West) variance estimator. “Unfortunately”, I must say, there are a lot of options described in the literature with regard to choosing the “right” kernel method (Bartlett, Quadratic spectral, etc.) and bandwidth (Andrews automatic, Newey-West automatic etc.). However, so far I do not find any unambiguous method to use. It is also frustrating because different HAC-estimators seem to give different results. Question: What is regarded as the “best”, most robust or safe method to use? Any suggestions?

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Comments

Each method has it's own advantages and disadvantages subject to the data and what is important to the modeller. Potentially someone has reviewed these and/or one of the graduate manuals may cover these points.

SHAZAMHelp gravatar imageSHAZAMHelp ( 2014-01-10 18:00:36 +0000 )edit

Thank, I'll check the literature.

Pantera gravatar imagePantera ( 2014-01-15 12:57:08 +0000 )edit