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 ...
I hear it said  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 ...
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 ...
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 ...
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 ...
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 ...