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HAC-corrections

Hi all,

To eliminate or reduce the influence of potential autocorrelated and heteroscastic 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 regrad to choosing the “right” kernel method (Bartlett, Quadratic spectral, etc.) and bandwidth (Andrews automatic, Newey-West automatic etc.). However, 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?

HAC-corrections

Hi all,

To eliminate or reduce the influence of potential autocorrelated and heteroscastic 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 regrad 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?use?

HAC-corrections

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?