On Mon, 21 Aug 2006, Arnaud Bervas wrote: > I wanted to know how you can get HAC standard errors once you > have sub-sampled the dataset, since sub-sampling transforms > the initial time-series dataset into a cross-sectional one ?
For example: open data9-7 smpl QNC > 2200 --restrict ols 1 0 2 3 --robust setobs 4 1960:1 ols 1 0 2 3 --robust The first ols does not use HAC, because the dataset is not considered time series. The second ols does use HAC, by default (although this is of questionable validity, since the data are no longer contiguous time-series observations). The action of the "setobs" line is the same as selecting "Dataset structure" from the menus, and setting the data as quarterly time series. Allin Cottrell
