Hi, I have a simple linear regression for which I want to obtain HAC corrected standard errors, since I have significant serial/auto correlation in my residuals, and also potential heteroskedasticity.
Would anyone be able to direct me to the function that implements this in R? It's a basic question and I'm sure I'm missing something obvious here. I looked up this post: http://www.nabble.com/Re%3A-Moving-Window-regressions-with-corrections-for-Heteroscedasticity-and-Autocorrelations(HAC)-td6075371.html#a6075371 which recommended that I use the coeftest() function in package lmtest, but when I tried to assign an object: result <- coeftest(regre, NeweyWest), where regre is an object of class lm, this returned an error. I'd be grateful for any advice, since I'm sure I'm making one of those simple bloopers. Thanks! Shruthi -- View this message in context: http://www.nabble.com/HAC-corrected-standard-errors-tp22430163p22430163.html Sent from the R help mailing list archive at Nabble.com. ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.