correct {mbreaks}

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 1, an AR(1) process will be used to filter. If 0, skipped the filtering process

Value

hac Heteroskedasticy and autocorrelation consistent errors