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

monika nov monika.novac at gmail.com
Sat Sep 19 22:17:39 CEST 2015

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).

What if the residuals from model estimated by stslshac are spatially
autocorrelated and (or) heteroscedastic? Can I still use this
estimator with HAC estimate of VC matrix or shall I go for different
estimator or specification? Do the estimates have required properties
(are they unbiased, consistent, efficient)? I would be grateful for
any reaction.

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