HCCM (Heteroskedasticity Consistent Covariance Matrices)

[EViews Gareth]

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),

[fan_of_eviews]

Hello, all.

Does this add-in work for panels? Thanks.

[EViews Gareth]

Unfortunately, not. (indeed at the moment, it appears to crash EViews on panel equations. We'll have to get that fixed).

[fan_of_eviews]

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.

[EViews Gareth]

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.