Robust Error Calculations

Use the options ROBUSTERRORS, LAGS, and LWINDOW or LWFORM on DDV, GARCH, LDV, LINREG, MAXIMIZE, NLLS, NLSYSTEM, PREGRESS, STWISE or SUR to compute regression standard errors and covariance matrix allowing for heteroscedasticity (White or Eicker-White) and serial correlation (HAC) of the residuals. See Long-Run Variance/Robust Covariance Calculations for technical information.

The MCOV instruction offers the same options, except that you do not need to use the ROBUSTERRORS option on MCOV.

ROBUSTERRORS/[NOROBUSTERRORS]

LAGS=correlated lags [0]

LWINDOW=NEWEYWEST/BARTLETT/DAMPED/PARZEN/QUADRATIC/[FLAT]/PANEL/WHITE

LWFORM=VECTOR with the window form [not used]

CLUSTER=series/FRML/expression with category values for clustered standard errors [not used]

DAMP=value of \(gamma\) for LWINDOW=DAMPED [0.0]

ROBUSTERRORS used without LAGS corrects for heteroscedasticity only. The option LAGS=correlated lags is used to correct for autocorrelation up to a moving average of the indicated degree.

If you have a non-zero LAGS option, you may need to use LWINDOW with fix problems due to the computed matrix being not positive definite. LWINDOW=NEWEY produces the Newey-West calculation which is the most common choice for HAC standard errors. LWINDOW=BARTLETT is identical to that (Bartlett is an older name for the window form from the spectral analysis literature). With an older program, you may see the option DAMP=1.0 rather than use of LWINDOW. This also produces the Newey-West estimator.

LWFORM allows you to enter your own window form.

LWINDOW=PANEL produces panel-clustered standard errors (in a panel-dated CALENDAR) and CLUSTER computes general clustered standard errors.