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a6075371
2009 Mar 10
1
HAC corrected standard errors
...d 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 makin...