HCCM (Heteroskedasticity Consistent Covariance Matrices)

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EViews Gareth
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HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby EViews Gareth » Wed Apr 14, 2010 10:15 am

This thread is about the HCCM Add-in that calculates Heteroskedasticity Consistent Covariance Matrices, as outlined in "Using Heteroscedasticity Consistent Standard Errors in the Linear Regression Model" J. Scott Long and Laurie H. Ervin , The American Statistician, Vol. 54, No. 3, (Aug., 2000),
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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby fan_of_eviews » Mon May 31, 2010 2:24 am

Hello, all.

Does this add-in work for panels? Thanks.

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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby EViews Gareth » Mon May 31, 2010 10:04 am

Unfortunately, not. (indeed at the moment, it appears to crash EViews on panel equations. We'll have to get that fixed).
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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby fan_of_eviews » Mon May 31, 2010 5:49 pm

Gareth,

That is why I asked the question. The add-in works fine for the individual cross-section workfiles, but it crashes my panel workfile every time I try to run it. I just wanted to make sure that this was not due to a problem on my end. Thanks for the prompt response.

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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby EViews Gareth » Tue Jun 01, 2010 11:19 am

I should add that once we get the bug fixed (today probably), it still isn't clear that the add-in should be used on panel equations, since I'm not sure the econometrics of the HCCMs go through in a panel setting.
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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby Amber » Mon Jun 13, 2016 3:30 am

Dear Gareth,
Can we implement the HCCM (HC3) in the program language (such as eq.ls(n) for newey-west)? I need to estimate 600 equations in a loop.
Thanks a lot!

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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby EViews Gareth » Mon Jun 13, 2016 4:01 am

You'd be best off taking the source code of the add-in that computes H3 and adding it to your program.
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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby Amber » Mon Jun 13, 2016 5:54 am

Dear Gareth,
I have added "eq1.HCCM(type=hc3) outname1" after the OLS regression in the program. I want to extract the t-stats of the OLS coefs with HCCM-HC3 s.e. in the program. Can you advise?
I have tried to use "colpace" t-stats, but it only extract the old OLS regression t-stats.
Thanks in advance!

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Re: HCCM (Heteroskedasticity Consistent Covariance Matrices)

Postby EViews Gareth » Mon Jun 13, 2016 6:17 am

EViews Gareth wrote:You'd be best off taking the source code of the add-in that computes H3 and adding it to your program.
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