Respected Eric SirTo rephrase what you said (just to test my understanding of
it): If the OLS moment conditions are perfectly identified, and HAC standard
errors are used, the output (standard errors) will be identical to those from
GMM. Am i right sir? I am using a linear model which is a CAPM variant with an
additional squared market premium term. In this case, will not the GMM and OLS
with HAC give same results?Your comment will be invaluable sir. Regards,Pankaj
K Agarwal
On Tuesday, 28 June 2016 10:27 PM, Eric Zivot <ezi...@uw.edu> wrote:
No
OLS is a special case of GMM where the number of moment conditions is the same
as the number of parameters. In this case the efficient weight matrix does not
matter for estimation but does matter for the calculation of an estimate of the
asymptotic variance matrix of the OLS parameters. This is what HAC standard
errors do in the sandwich function vcovHAC()
-----Original Message-----
From: R-SIG-Finance [mailto:r-sig-finance-boun...@r-project.org] On Behalf Of
Pankaj K Agarwal via R-SIG-Finance
Sent: Monday, June 27, 2016 11:17 AM
To: R-sig-finance <r-sig-finance@r-project.org>
Cc: H.K Pradhan <prad...@xlri.ac.in>
Subject: [R-SIG-Finance] GMM
Apologies if this question is irrelevant for this group.
Does using HAC standard errors (Newey and West: package sandwich) in OLS
regression make using GMM (package: GMM) redundant?
Regards,Pankaj K Agarwal
+91-98397-11444http://in.linkedin.com/in/pankajkagarwal/
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