On Fri, 1 Jun 2012, Anutechia Asongu wrote: > My 2SLS results without HAC standard errors are promising whereas > those with HAC standard errors are not. Hitherto, I have been used > to robust HAC standard errors in my estimations. I'll like to > enquire if a sound case could be made for presenting results > without HAC standard errors.
If in tests for heteroskedasticity and autocorrelation the null is not rejected, one could argue that HAC estimation is just introducing noise. On the other hand, if the HAC standard errors differ substantially from the "classical" ones, that suggests that the errors are not i.i.d. Allin Cottrell
