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Posted: Tue Sep 14, 2010 11:12 am
This thread is about the LDVHAC
add-in that calculates heteroskedasticity and autocorrelation consistent (HAC) standard errors for limited dependent models such as probit and logit.
2011/05/23 Changed bandwidth options (E.g. User-specified bandwidth has no default value).
Posted: Thu Nov 11, 2010 8:27 am
how to use theses add-inns
Posted: Thu Nov 11, 2010 9:13 am
Inference in models which contain autocorrelation and/or heteroskedasticity of unknown form requires
covariance matrix estimators that can consistently estimate the covariance of the model parameters.
This add-in will provide you suitable heteroskedasticity and autocorrelation consistent (HAC) estimators.
To apply the add-in, you can take the following steps.
(1) Download *LDVHAC*
(2) Click *Add-ins* button
(3) Click *HAC covariance matrix calculation for LDV models*
Posted: Fri Nov 12, 2010 8:24 am
there is no add-inns menu and i have Eviews 7
Posted: Fri Nov 12, 2010 8:35 am
Posted: Wed Mar 09, 2011 5:31 am
I just stumbled across the range of add-ons provided for eviews7.
For what object is this add-on intended?
I'm estimating a specific garch -model by MLE, i.e. using a LOGL object and would like to estimated robust t-stats with HAC standard errors.
Is this add-on applicable for my case?
Thanks in advance.
Posted: Wed Mar 09, 2011 8:55 am
This Add-in is for equation objects - i.e. estimation using the built in probit/logit procedures.
Posted: Wed Mar 09, 2011 9:26 am
ah, ok. So, then there is no way to use the add-in in my particular case?
Posted: Wed Mar 09, 2011 9:31 am