[R] HAC corrected standard errors

[ronggui]

sandwich package is what you want.

Best

2009/3/10 Shruthi Jayaram <shruthi.jayaram.85 at gmail.com>:
>
> Hi,
>
> I have a simple linear regression for which I want to obtain HAC corrected
> standard errors, since I have significant serial/auto correlation in my
> residuals, and also potential heteroskedasticity.
>
> Would anyone be able to direct me to the function that implements this in R?
> It's a basic question and I'm sure I'm missing something obvious here. I
> looked up this post:
>
> http://www.nabble.com/Re%3A-Moving-Window-regressions-with-corrections-for-Heteroscedasticity-and-Autocorrelations(HAC)-td6075371.html#a6075371
>
> which recommended that I use the coeftest() function in package lmtest, but
> when I tried to assign an object:
>
> result <- coeftest(regre, NeweyWest), where regre is an object of class lm,
> this returned an error.
>
> I'd be grateful for any advice, since I'm sure I'm making one of those
> simple bloopers.
>
> Thanks!
>
> Shruthi
> --
> View this message in context: http://www.nabble.com/HAC-corrected-standard-errors-tp22430163p22430163.html
> Sent from the R help mailing list archive at Nabble.com.
>
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HUANG Ronggui, Wincent
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PhD Candidate
Dept of Public and Social Administration
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