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.
22
questions
0
votes
1
answer
19
views
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 ...
- 65
0
votes
0
answers
17
views
HAC Robust Errors - Simple Static Time Series Regression
We're working with Wooldridge Econometrics without matrix algebra.
My professor introduces a simple static time series model:
$$y_t = \beta_0 +\beta_1x_t+u_t$$
In the presence of serial correlation, ...
- 3
0
votes
0
answers
314
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 ...
- 31
1
vote
1
answer
169
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.
...
- 11
1
vote
0
answers
62
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-...
- 233
1
vote
1
answer
417
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 ...
- 119
0
votes
0
answers
140
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 ...
- 13
2
votes
0
answers
189
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 ...
- 121
0
votes
0
answers
193
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)&...
- 137
1
vote
0
answers
176
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[...
- 11
4
votes
0
answers
169
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 \...
- 1,313
1
vote
1
answer
678
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 ...
- 21
2
votes
0
answers
738
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 ...
- 131
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 ...
- 363
1
vote
1
answer
932
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:
...
- 55
0
votes
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 (...
- 31
4
votes
1
answer
905
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 ...
- 51
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 ...
- 41
4
votes
1
answer
432
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 ...
- 41
12
votes
4
answers
33k
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 ...
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 ...
- 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 ...
- 14.3k