correct {mbreaks} | R Documentation |
Heteroskedasticy and autocorrelation consistency correction for residuals
Description
'hac()' corrects the estimated errors based on options of prewhitening using a AR(1) process estimation of error terms to obtain heteroskedasticy and autocorrelation consistency (HAC) errors with automatic bandwith and kernel similar to Andrews, 1994
Usage
correct(reg, res, prewhit)
Arguments
reg |
matrix of regressors |
res |
matrix of estimated residuals |
prewhit |
Option of using prewhitening process. If |
Value
hac Heteroskedasticy and autocorrelation consistent errors
[Package mbreaks version 1.0.1 Index]