[R] Function stslshac {sphet}: heteroskedasticity and autocorrelation consistent (HAC) estimator

[Roger Bivand]

monika nov <monika.novac <at> gmail.com> writes:

> 
> Dear R-users,
> 
> I have quite basic question for econometricians, however I would like to be
> sure in this.
> 
> If I use a HAC estimator of the variance-covariance (VC) matrix for a
> spatial econometric model, do I still need to test the residuals for
> spatial autocorrelation and heteroscedasticity? (in particular I am using
> function stslshac available in package sphet. The estimator is based on
> Kelejian, H.H. and Prucha, I.R. (2007) HAC estimation in a spatial
> framework, Journal of Econometrics, 140, pages 131–154).
> 

Please consider posting on R-sig-geo, since your question concerns spatial
regression. Roughly, you might mean that if you use a model with
semiparametric fitting of HAC, how might you check that it actually worked,
but your meaning isn't obvious. If you include an example using a built-in
data set, then your intentions would be clearer.

...
> I would be grateful for any reaction.
> 
> Monika
> 
PS. Please post plain text, not HTML

Roger Bivand