# Autocorrelation in DOLS: will HAC standard errors work?

I am currently estimating a cointegrating regression (DOLS), where my residuals have autocorrelation. Sometimes it is just in one or two lags, but sometimes it is more. My question is: Can I apply HAC and carry on with my estimation? I.e. would HAC standard errors compensate for the autocorrelation?

• I edited the title in the hope of making it more informative. I hope I did not misrepresent your point. It is an interesting question, but looks like a tough one, too... – Richard Hardy Jun 7 '15 at 21:52
• In DOLS, leads and lags compensate for autocorrelation. Why would you want to use HAC s.e.s on top? – Christoph Hanck Jun 8 '15 at 3:25
• Richard Hardy, thanks! @ChristophHanck, because I have tried every possible combination of leads and lags and some autocorrelation still remains. – econstudent Jun 8 '15 at 6:00