Hi gretl community,
I am just estimating some VAR models and would like to use robust
standard errors. I am using the following lines to set up HAC:
-
set force_hc off #to make sure that HAC and not HC is used
set hac_prewhiten off #Andrews-Monahan prewhitening and re-colorin
On Mon, 25 Apr 2011, Artur Tarassow wrote:
> I am just estimating some VAR models and would like to use robust
> standard errors. I am using the following lines to set up HAC...
You're right, these won't work to produce HAC for a VAR. It's not
exactly a bug, but a semi-deliberate decision ;-)
Th
Original-Nachricht
> Datum: Mon, 25 Apr 2011 17:21:17 -0400 (EDT)
> Von: Allin Cottrell
> An: Gretl list
> Betreff: Re: [Gretl-users] Activating HAC does not work
> On Mon, 25 Apr 2011, Artur Tarassow wrote:
>
> > I am just estimating some VAR mode
On Tue, 26 Apr 2011, Sven Schreiber wrote:
> I tend to think it should be _possible_ to use HAC with VARs for
> demonstration purposes, even if it may not be wise to use them for real
> applications.
>
> The robust default should probably be the "wise" one, i.e. HC but not
> HAC. However, ther
2011/4/26 Riccardo (Jack) Lucchetti :
> On Tue, 26 Apr 2011, Sven Schreiber wrote:
>
>
>> I tend to think it should be _possible_ to use HAC with VARs for
>> demonstration purposes, even if it may not be wise to use them for real
>> applications.
>>
>> The robust default should probably be the "wis
On Tue, 26 Apr 2011, Riccardo (Jack) Lucchetti wrote:
> On Tue, 26 Apr 2011, Sven Schreiber wrote:
>
> > I tend to think it should be _possible_ to use HAC with VARs for
> > demonstration purposes, even if it may not be wise to use them for real
> > applications.
> >
> > The robust default should
On Tue, 26 Apr 2011, Allin Cottrell wrote:
> On Tue, 26 Apr 2011, Riccardo (Jack) Lucchetti wrote:
>
>> On Tue, 26 Apr 2011, Sven Schreiber wrote:
>>
>>> I tend to think it should be _possible_ to use HAC with VARs for
>>> demonstration purposes, even if it may not be wise to use them for real
>>>
Dear all,
IMHO, I think "--robust-hac" it's better because it makes it clearer
to the user that this is just an extra option to the robust standard
error estimation.
Best regards,
Henrique
Enviado via iPhone
Em 26/04/2011, às 10:27, "Riccardo (Jack) Lucchetti"
escreveu:
> On Tue, 26 Apr 2011,
