Sorry, I cannot directly post the workfile on the website. Could I email you my workfile?
Thanks.
Search found 3 matches
- Thu Jun 30, 2016 9:26 am
- Forum: Programming
- Topic: HAC prewhitening error
- Replies: 6
- Views: 3327
- Thu Jun 30, 2016 8:54 am
- Forum: Programming
- Topic: HAC prewhitening error
- Replies: 6
- Views: 3327
Re: HAC prewhitening error
Thanks for your help. There is no error message. But I want to get the standard error value, which is NA in the model output. Method: Least Squares Date: 06/30/16 Time: 11:51 Sample (adjusted): 2005Q4 2013Q4 Included observations: 33 after adjustments HAC standard errors & covariance (Prewhiteni...
- Thu Jun 30, 2016 7:55 am
- Forum: Programming
- Topic: HAC prewhitening error
- Replies: 6
- Views: 3327
HAC prewhitening error
Hello, I am trying to apply the HAC in OLS estimation. I noticed that once we specified prewithitening, the standard error of some coefficients may turn to NA. Can you please help? Please see the code I used. Thanks. eq_loop.ls(COV=HAC, COVLAG=1, COVKERN=QUADSPEC, COVBW=ANDREWS) {%depend} c {%regres...