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).
What if the residuals from model estimated by stslshac are spatially
autocorrelated and (or) heteroscedastic? Can I still use this estimator
with HAC estimate of VC matrix or shall I go for different estimator or
specification? Do the estimates have required properties (are they
unbiased, consistent, efficient)?
I would be grateful for any reaction.
Monika
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