DK-HAC: Double Kernel Heteroskedasticity and Autocorrelation Consistent Estimator and Robust Standard Errors
Keywords: HAC, DK-HAC, Robust Standard Errors, HAR, Long-run variance, Prewhitening, Covariance Matrix.
This software implements the DK-HAC covariance matrix estimators and robust standard errors from Casini (2021) and Casini and Perron (2021b).
The DK-HAC estimator extends the Newey-West’s (1987, 1994) and Andrews’ (1991) HAC estimators to flexibly account for nonstationarity (e.g., breaks, time-varying parameters/volatility, regime swicthing, misspecification, outliers, etc.). See Casini et al. (2021) for a technical comparison.
The software includes ordinary functions for regression analysis with robust (DK-HAC) standard errors including t-test, F-test, standard errors, R-squared and other popular regression outputs.
The software also includes the following tools:
Non-Technical Summary for Empirical Research
In preparation.
Software available in Matlab, R and Stata
- Matlab Package (to be uploaded later)
- R Package (to be uploaded later)
- Stata Package (to be uploaded later)
Contributors
Background Papers
- Belotti, F., A. Casini, L. Catania, S. Grassi and P. Perron, “Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings”. arXiv preprint arXiv.
- Casini, A. (2019), “Improved Methods for Statistical Inference in the Context of Various Types of Parameter Variation”. Ph.D Dissertation, Boston University.
- Casini, A. (2021), “Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models”. arXiv preprint arXiv.
- Casini, A. and P. Perron (2021a), “Theory of Low Frequency Contamination from Nonstationarity and Misspecification: Consequences for HAR Inference”. arXiv preprint arXiv
- Casini, A. and P. Perron (2021a), “Change-Point Analysis of Time Series with Evolutionary Spectra”. arXiv preprint arXiv
- Casini, A. and P. Perron (2021b), “Minimax MSE Bounds and Nonlinear VAR Prewhitening for Long-Run Variance Estimation Under Nonstationarity”. arXiv preprint arXiv
Maintainer and Correspondence