Is there a way of performing HAC robust standard errors in SPSS?
Since this question has not been answered for over a year and I stumbled upon an article with a macro for the simple HC correlation I thought it might be worth mentioning. The article is available here and has at the end a macro that allows for HC calculation. Using the R code from the sandwich-package vcovHAC
(esp. the meatHAC
) functions it might be feasible to create a macro for SPSS that handles HAC errors.
That said, why not just go with R and the sandwich
-package? You can even work inside SPSS with R using the essentials for R-addon.
sandwich
in R. Orrobust
option in Stata. A year and a half of waiting time is definitely worth the price of Stata :). $\endgroup$ – StasK Oct 22 '13 at 18:48