Description Usage Arguments Value Note References Examples

The heteroskedasticty and autocorrelation consistent (HAC) covariance matrix of least square estimates (Newey & West, 1978) is applied to an object of class `lm`

. A single group factor may be taken into account.

1 |

`x` |
An object of class |

`group` |
The name of the group factor (optional). If |

An object of class `hac`

and `lm`

.
The HAC covariance matrix is stored into the component `vcov`

of the object,
which is taken into account by the `summary`

and the `vcov`

methods.
The HAC covariance matrix has the attribute `max.lag`

, indicating the maximum lag of autocorrelation, which is automatically computed based on fit to data.

If `group`

is not `NULL`

, the HAC covariance matrix is computed within each group.
Residuals are assumed to be temporally ordered within each group.

W. K. Newey, and K. D. West (1978). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. *Econometrica*, 55(3), 703-708.

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