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Is there a way of performing HAC robust standard errors in SPSS?

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  • $\begingroup$ You mean a way of calculating HAC robust standard error estimates, right? Do you have a particular method you want to use? $\endgroup$
    – guest
    Commented Mar 22, 2012 at 4:14
  • $\begingroup$ @guest - Yes! I'm using GEE Negative Binomial regression, controlling for temporal correlation on longitudinal count data. $\endgroup$
    – Stephen
    Commented Mar 22, 2012 at 11:26
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    $\begingroup$ Use sandwich in R. Or robust option in Stata. A year and a half of waiting time is definitely worth the price of Stata :). $\endgroup$
    – StasK
    Commented Oct 22, 2013 at 18:48

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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.

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