Tagged Questions

2
votes
0answers
438 views

Newey-West t-statistics

I have a time-series which is autocorrelated by construction, and might be heteroscedastic. I have calculated the sample mean of this time-series, and would like to calculate the t-statistic ...
5
votes
2answers
132 views

Quantile regression and heteroscedasticity/autocorrelation

I hear it said [1] that QR makes no distribution assumptions about its error term. Question 1: Does this mean that heteroscedastic and serially correlated disturbances do not effect the ...
4
votes
1answer
189 views

(Quantile regression) Which standard error for heteroscedasticity & serial correlation

I have heteroscedastic and autocorrelated residuals in my multivariate quantile regression model. What's the quantile regression standard error estimator that's robust to this? Something hopefully ...
1
vote
1answer
202 views

Are HAC estimators used for estimation of regression coefficients?

The references I can find on HAC procedures (like Newey-West) in regression focus on the standard error of the estimated regression coefficients and hypothesis testing involving the same. I cannot ...
4
votes
3answers
6k views

Autocorrelation and heteroskedasticity in panel data

In the research, both autocorrelation and heteroskedasticity are detected in panel data analysis. I can solve them separately in stata with command "xtregar" and "robust", respectly. However, I cannot ...
6
votes
1answer
2k views

Calculate Newey-West standard errors without an lm object in R

I asked this question yesterday on StackOverflow, and got an answer, but we agreed that it seems a bit hackish and there may be a better way to look at it. The question: I would like calculate the ...