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Questions tagged [hac]

Ambiguous. Might refer to "heteroskedasticity and autocorrelation consistent" standard errors that allow to robustify statistical inference to the presence of...well...heteroskedasticity and autocorrelation, but to hierarchical agglomerative clustering.

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Fixed Effects model "within" "individual" adding time dummies

Currently I am writing my thesis about the influence of natural resource dependence on child health. I have an unbalanced panel dataset with 117 countries from 2002-2020. I use the code under the ...
Fleur's user avatar
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1 vote
1 answer
139 views

Examining group mean differences in time series using regression and HAC-robust standard errors

I’ve got a clinical time series dataset containing (hourly) heart frequencies from deceased and survived patients. I need to investigate whether there is a significant difference of means between ...
T.K.'s user avatar
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1 answer
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HAC Standard Errors - Number of Lags in an Unbalanced Panel

I am working on a panel dataset with a lot of missing data. Because I have reason to believe that the error terms are autocorrelated, I want to use HAC (Newey West) standard errors. I am unsure how to ...
umbal's user avatar
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0 answers
538 views

R: Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator for panel linear model with fixed effects

Is there a way for generating Heteroskedasticity- and autocorrelation-consistent (HAC) standard errors for panel linear model with two fixed effects? I came across ...
Shunrei's user avatar
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1 vote
1 answer
327 views

Neweywest test in R

Portfolio analysis is being conducted using R. We use the neweywest function belonging to the sandwich package, and the brief description is as follows. ...
SSUM2ER's user avatar
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1 vote
0 answers
69 views

HAC variance to construct standard errors

I am facing some difficulties understanding this question. It hasn't been long since I started with econometrics, so I'm new to all of this. Suppose we have a function $$E[c_t|y_t,c_{t-1},y_{t-1},c_{t-...
Maybeline Lee's user avatar
1 vote
1 answer
541 views

VAR(p) Model in R with HAC estimator

I'm running a VAR model in R and found with several tests (arch.test, serial.test) that my model still contains ...
Anna's user avatar
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0 answers
166 views

When can HAC standard errors be appiled

In my one-way and two-way fixed effects models, I detected autocorrelation and heteroscedasticity. Therefore, I want to use HAC standard errors to correct my standard errors. Are there some ...
KC15's user avatar
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2 votes
0 answers
258 views

Unable to match numerical output of Newey-West standard error in statsmodel

I'm trying to implement Newey-West from scratch to better understand each component. Currently having trouble replicating a basic numerical example of Newey-West with lag=1 from ...
nwly's user avatar
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0 votes
0 answers
230 views

Using HAC in ARIMA model

I have a model in EViews (made by a third party) and it looks like this dlnY c dlnX1 dlnX2 ar(1) Additionally for the covariance method "HAC (Newely-West)&...
Vesnič's user avatar
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1 vote
0 answers
197 views

System of equations GMM - time series (HAC) in RStudio [closed]

So I have a system of equations made up with some time series, to be estimated with a Generalised Moments Method model. Sth like: PREM[t] = phi_0+phi_1*PREM[t-1]+phi_2*IR[t-1]+phi_3*INAD[t-1]+phi_4*U[...
Ricardo's user avatar
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4 votes
0 answers
203 views

Long-run covariance matrix estimators with Ledoit-Wolf (2004) shrinkage; what methods exist?

Ledoit and Wolf ("A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices", 2004) proposed an estimator for the covariance matrix of a data set, $S^* = p I_d + (1 - p) \hat{S}$ with $p \...
cgmil's user avatar
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1 vote
1 answer
728 views

Ever increasing silhouette width and Mantel statistics when seeking optimal number of clusters in hierarchical agglomerative clustering

When wanting to identify the optimum number of clusters in my hierarchical agglomerative clustering attempt (UPGMA and complete linkage), I obtain ever increasing average silhouette widths (Rousseeuw ...
MoritzS's user avatar
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2 votes
0 answers
786 views

Lagged dependent variable or handling residual as AR process?

I have been confused with these two methodologies when doing regression. Let's say I have a dependent variable (DV), which is auto-correlated. When I regress the dependent variable on a number of ...
user3692418's user avatar
3 votes
1 answer
3k views

Heteroscedasticity in VAR Residuals

I got some heteroscedasticity in the residuals of a VAR model (check the plot). As fas as I know, the VAR coefficients are still consistent. However, the standard errors are supposed to be not well ...
Filippo Scopel's user avatar
1 vote
1 answer
1k views

Regression confidence Interval: difference in SE when using Newey West method

I would like to estimate a confidence interval for coefficients of my regression. I calculate the coefficients of the regression with the following code: ...
user144267's user avatar
1 vote
1 answer
3k views

HAC standard errors or robust standard errors?

When estimating an AR, ADL and VAR model, should I use robust standard errors or HAC errors? In an exercise, I used the robust standard error, and then check for autocorrelation in the residuls (...
Federica's user avatar
5 votes
1 answer
983 views

HAC standard error or missing ARMA terms

In the context of regressions, it seems a convention that the HAC estimator should be applied when the residual is serially correlated. But isn't the presence of residual autocorrelations an ...
Frank's user avatar
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4 votes
2 answers
3k views

Influence of HAC estimates to p-value of t-test

I have a linear regression model and because of heteroskedasticity or autocorrrelation I use HAC (Newey-West) estimates. This influences also p-values of significance t-tests of estimated coefficients ...
user101295's user avatar
4 votes
1 answer
448 views

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 ...
econstudent's user avatar
12 votes
4 answers
35k views

Choosing the number of clusters in hierarchical agglomerative clustering

I have a set of points that I want to cluster into groups according to a number of features computed. I have distance matrix containing the distances between all different pairs of points. I have ...
Moustafa Alzantot's user avatar
2 votes
0 answers
2k views

Determining Optimal Number of Cluster in Hierarchical Clustering in Consideration of Variance of Data

I'm applying a Hierarchical Agglomerative Clustering (HAC) for grouping my data and I need to determine the number of the cluster automatically. To determine the optimal number of cluster, I obtain ...
azer89's user avatar
  • 121
6 votes
1 answer
5k 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 ...
shabbychef's user avatar
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