Newey _West HAC standard error
Posted: Mon Nov 28, 2011 9:42 pm
Hi All,
My question:
If HAC standard error takes into account the auto-correlation, does it mean than we don't have to incorporate lags in a model. Is it possible to use both the HAC std. error and lags in a model?
Thanking you in advance.
My question:
If HAC standard error takes into account the auto-correlation, does it mean than we don't have to incorporate lags in a model. Is it possible to use both the HAC std. error and lags in a model?
Thanking you in advance.