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HAC Estimator Options

Posted: Sun Jul 26, 2015 10:52 am
by Dickson
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?

Re: HAC Estimator Options

Posted: Mon Jul 27, 2015 9:40 am
by EViews Glenn
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.