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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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15 views

MSE for the kernel-based HAC long-run covariance matrix itself (in the Frobenius norm sense)

Consider the stationary multivariate time series $X_1, \ldots, X_T$ and the HAC-consistent long-run covariance matrix estimator $$\hat{\Gamma} = \hat{\Gamma}_0 + \sum_{l=1}^{T-1} K\left(\frac{l}{h_T}\...
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36 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 \...
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1answer
225 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 ...
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454 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 ...
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1answer
910 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 ...
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1answer
346 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: ...
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1answer
1k 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 (...
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1answer
444 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 ...
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2answers
1k 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 ...
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1answer
319 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 ...
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3answers
11k 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 ...
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0answers
1k 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 ...
5
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1answer
4k 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 ...