HAC Estimator Options

For econometric discussions not necessarily related to EViews.

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Dickson
Posts: 12
Joined: Tue Dec 30, 2014 8:10 am

HAC Estimator Options

Postby Dickson » Sun Jul 26, 2015 10:52 am

Hi Guys! When estimating a model with HAC standard errors, there are certain Whitening and Kernel options. Can anyone point me to a student-friendly manual of what these things are and how the choice is made?
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: HAC Estimator Options

Postby EViews Glenn » Mon Jul 27, 2015 9:40 am

Not to brag too much, but we think the discussion of the computation of long-run variances in the EViews manual is a pretty good place to start.
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