Hello Gareth,
Yes, I think I can only select the options for the matrix, but I also need to select the type and lags for the standard errors. In the previous post I showed what the estimation delivers. Do I have to assume the standard errors are the ones I want by those results?
Search found 2 matches
- Fri Oct 08, 2021 1:13 am
- Forum: Estimation
- Topic: HAC Robust standard errors in GMM
- Replies: 3
- Views: 11854
- Thu Sep 30, 2021 1:05 am
- Forum: Estimation
- Topic: HAC Robust standard errors in GMM
- Replies: 3
- Views: 11854
HAC Robust standard errors in GMM
Hi everyone, I want to estimate a single-equation GMM model with optimal weighting HAC matrix and HAC Newey-West robust standard errors with 3 lags, but I am not sure that's what Eviews 12 is giving. In the estimation weighting matrix HAC options, I assume I don't have to select whitening options, a...