HAC s.e. with MA terms

[ioptyu]

Hi technical support. What is the formula of White Heteroskedasticity-Consistent Standard Errors & Covariance when there are Moving Average terms used in the Object Equation, estimatad with Method: LS ?

Could you give references? Could you also give references for the backcasting method used to estimate coefficients with MA terms ? Thanks

[EViews Glenn]

Standard White calculation using the innovations and the gradients. Reference would be any description of White in a non-linear least squares setting. Or alternately, just applying the linear results for the linearized model.

The backcasting is described in the manual. It's based on ideas from Box and Jenkins as described in the manual. By the nature of backcasting the algorithms are a bit ad hoc so apart from the original Box-Jenkins references, what we have in the manual is what there is.