Statistical Analysis Stack Exchange
Statistical Analysis Stack Exchange

Questions tagged [hac]

Ambiguous. Might refer to "heteroskedasticity and autocorrelation consistent" standard errors that allow to robustify statistical inference to the presence of...well...heteroskedasticity and autocorrelation, but to hierarchical agglomerative clustering.

18 questions
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Choosing the number of clusters in hierarchical agglomerative clustering

I have a set of points that I want to cluster into groups according to a number of features computed. I have distance matrix containing the distances between all different pairs of points. I have tried K-Means, and DBSCAN first but since I have no…
Moustafa Alzantot
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Are HAC estimators used for estimation of regression coefficients?

The references I can find on HAC procedures (like Newey-West) in regression focus on the standard error of the estimated regression coefficients and hypothesis testing involving the same. I cannot find any references where the HAC estimate of error…
shabbychef
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Long-run covariance matrix estimators with Ledoit-Wolf (2004) shrinkage; what methods exist?

Ledoit and Wolf ("A Well-Conditioned Estimator for Large-Dimensional Covariance Matrices", 2004) proposed an estimator for the covariance matrix of a data set, $S^* = p I_d + (1 - p) \hat{S}$ with $p \in (0,1)$ (they gave a specific $p$ that I won't…
cgmil
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HAC standard error or missing ARMA terms

In the context of regressions, it seems a convention that the HAC estimator should be applied when the residual is serially correlated. But isn't the presence of residual autocorrelations an indication that the model misses lagged dependent…
Frank
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4
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2 answers

Influence of HAC estimates to p-value of t-test

I have a linear regression model and because of heteroskedasticity or autocorrrelation I use HAC (Newey-West) estimates. This influences also p-values of significance t-tests of estimated coefficients as they are then different than the normal…
user101295
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4
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1 answer

Autocorrelation in DOLS: will HAC standard errors work?

I am currently estimating a cointegrating regression (DOLS), where my residuals have autocorrelation. Sometimes it is just in one or two lags, but sometimes it is more. My question is: Can I apply HAC and carry on with my estimation? I.e. would HAC…
econstudent
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Heteroscedasticity in VAR Residuals

I got some heteroscedasticity in the residuals of a VAR model (check the plot). As fas as I know, the VAR coefficients are still consistent. However, the standard errors are supposed to be not well estimated. I know Newey West adjustment of…
Filippo Scopel
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2
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Determining Optimal Number of Cluster in Hierarchical Clustering in Consideration of Variance of Data

I'm applying a Hierarchical Agglomerative Clustering (HAC) for grouping my data and I need to determine the number of the cluster automatically. To determine the optimal number of cluster, I obtain the the best cluster combination which maximizes…
azer89
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Lagged dependent variable or handling residual as AR process?

I have been confused with these two methodologies when doing regression. Let's say I have a dependent variable (DV), which is auto-correlated. When I regress the dependent variable on a number of independent variables (IV), most likely, the…
user3692418
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HAC variance to construct standard errors

I am facing some difficulties understanding this question. It hasn't been long since I started with econometrics, so I'm new to all of this. Suppose we have a function $$E[c_t|y_t,c_{t-1},y_{t-1},c_{t-2},...]=\alpha +\gamma y_t +\delta c_{t-2}$$…
Maybeline Lee
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VAR(p) Model in R with HAC estimator

I'm running a VAR model in R and found with several tests (arch.test, serial.test) that my model still contains heteroscedasticity and autocorrelation. I took the AIC lag order selection criteria, since I got least heteroscedasticity and…
Anna
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Unable to match numerical output of Newey-West standard error in statsmodel

I'm trying to implement Newey-West from scratch to better understand each component. Currently having trouble replicating a basic numerical example of Newey-West with lag=1 from statsmodel. import pandas as pd import numpy as np import…
nwly
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System of equations GMM - time series (HAC) in RStudio

So I have a system of equations made up with some time series, to be estimated with a Generalised Moments Method model. Sth like: PREM[t] =…
Ricardo
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Ever increasing silhouette width and Mantel statistics when seeking optimal number of clusters in hierarchical agglomerative clustering

When wanting to identify the optimum number of clusters in my hierarchical agglomerative clustering attempt (UPGMA and complete linkage), I obtain ever increasing average silhouette widths (Rousseeuw quality index) and Mantel correlation…
MoritzS
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Regression confidence Interval: difference in SE when using Newey West method

I would like to estimate a confidence interval for coefficients of my regression. I calculate the coefficients of the regression with the following code: library(sandwich) library(lmtest) myRegression <- lm(x ~ y) coeftest(myRegression, vcov =…
user144267
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