wahc-package: Autocorrelation and Heteroskedasticity Correction in Fixed...
In wahc: Autocorrelation and Heteroskedasticity Correction in Fixed Effect Panel Data Model
Description
Details
Author(s)
References
Description
Fit the fixed effect panel data model with heteroskedasticity and autocorrelation correction.
Details
Package: wahc
Type: Package
Version: 1.0
Date: 2015-02-23
License: GPL-3
In this package, we apply the consistent (HAC) standard errors to deal with both problems heteroskedasticity and autocorrelation in the fixed effect panel data regression.
Author(s)
Zaghdoudi Taha
Zaghdoudi Taha <zedtaha@gmail.com>
References
Bhargava A, Franzini L, Narendranathan W (1982). Serial Correlation and the Fixed Effects
Model.Review of Economic Studies,49, pp.533–554.
Drukker D (2003), Testing for Serial Correlation in Linear Panel-Data Models.The Stata Journal,3, pp. 168–177.
MacKinnon J, White H (1985), Some Heteroskedasticity-Consistent Covariance Matrix Es-
timators With Improved Finite Sample Propertie,Journal of econometrics, 29, pp.305–325.
Zeileis A (2004). Econometric Computing With HC and HAC Covariance Matrix Estimators.Journal of Statistical Software, 11,pp. 1–17.
wahc documentation built on May 2, 2019, 9:39 a.m.
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Description Details Author(s) References
Description
Fit the fixed effect panel data model with heteroskedasticity and autocorrelation correction.
Details
| Package: | wahc |
| Type: | Package |
| Version: | 1.0 |
| Date: | 2015-02-23 |
| License: | GPL-3 |
In this package, we apply the consistent (HAC) standard errors to deal with both problems heteroskedasticity and autocorrelation in the fixed effect panel data regression.
Author(s)
Zaghdoudi Taha
Zaghdoudi Taha <zedtaha@gmail.com>
References
Bhargava A, Franzini L, Narendranathan W (1982). Serial Correlation and the Fixed Effects Model.Review of Economic Studies,49, pp.533–554.
Drukker D (2003), Testing for Serial Correlation in Linear Panel-Data Models.The Stata Journal,3, pp. 168–177.
MacKinnon J, White H (1985), Some Heteroskedasticity-Consistent Covariance Matrix Es- timators With Improved Finite Sample Propertie,Journal of econometrics, 29, pp.305–325.
Zeileis A (2004). Econometric Computing With HC and HAC Covariance Matrix Estimators.Journal of Statistical Software, 11,pp. 1–17.
R Package Documentation
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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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