Econometric Computing with HC and HAC Covariance Matrix Estimators

Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasticity consistent (HC) and heteroskedasticity and autocorrelation consistent (HAC) estimators have been receiving attention in the econometric literature over the last 20 years. To apply these estimators in practice, an implementation is needed that preferably translates the conceptual properties of the underlying theoretical frameworks into computational tools. In this paper, such an implementation in the package…