[R] Function stslshac {sphet}: heteroskedasticity and autocorrelation consistent (HAC) estimator

Roger Bivand roger.bivand at nhh.no
Sat Sep 19 19:48:36 CEST 2015

monika nov <monika.novac <at> gmail.com> writes:

> Dear R-users,
> I have quite basic question for econometricians, however I would like to be
> sure in this.
> If I use a HAC estimator of the variance-covariance (VC) matrix for a
> spatial econometric model, do I still need to test the residuals for
> spatial autocorrelation and heteroscedasticity? (in particular I am using
> function stslshac available in package sphet. The estimator is based on
> Kelejian, H.H. and Prucha, I.R. (2007) HAC estimation in a spatial
> framework, Journal of Econometrics, 140, pages 131–154).

Please consider posting on R-sig-geo, since your question concerns spatial
regression. Roughly, you might mean that if you use a model with
semiparametric fitting of HAC, how might you check that it actually worked,
but your meaning isn't obvious. If you include an example using a built-in
data set, then your intentions would be clearer.

> I would be grateful for any reaction.
> Monika
PS. Please post plain text, not HTML

Roger Bivand

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