HAC Panel Data

[stefanp]

Is the HACestimation procedure described at http://www.eviews.com/help/helpintro.ht ... rrors.html available in panel data sets?

Equation Estimation\Panel Options has a Coef covariance drop down menu, but I cannot find the HAC method. Using Eviews 9

[EViews Gareth]

Since it is, econometrically, not a panel procedure, it is not available for panels.

For robust covariance options available in panels, look at the panel robust covariance section:
http://www.eviews.com/help/helpintro.ht ... 23ww187927

[stefanp]

I think White period method works for me.

I further need to access the t-stats of the coefficients estimate. However, I end up with a message
"Square root of negative number in "GENR STATS=@TSTATS(3)"

Any ideas what causes the issue?

[EViews Gareth]

Would need to have the work file with the equation in question

[stefanp]

I am afraid I cannot upload the workfile here.

However, the estimation itself does not cause any problems. Only the line

Code: Select all

STATS=@TSTATS(3)

produces the error message. Without any knowledge of the Eviews "black box" it is hard to understand that as the t-values are computed regardless of the command above. It seems like the assignment of the t-stats to the vector stats is troublesome.

[EViews Gareth]

What's the version/build date of your copy (Help->About EViews)?

[stefanp]

Version 9, Nov 2 2015 build

[EViews Gareth]

You should update to the latest version.