On Tue, 8 Dec 2009, sayan dasgupta wrote:
Dear R users, I have a question herelibrary(AER) library(plm) library(sandwich) ## take the following data data("Gasoline", package="plm") Gasoline$f.year=as.factor(Gasoline$year) Now I run the following regression rhs <- "-1 + f.year + lincomep+lrpmg+lcarpcap" m1<- lm(as.formula(paste("lgaspcar ~", rhs)), data=Gasoline) ###Now I want to find the autocorrelation,heteroskedasticity adjusted standard errors as a part of coeftest ### Basically I would like to take care of the within country serial correlaion ###that is I want to do coeftest(m1, vcov=function(x) vcovHAC(x,order.by=...)) Please suggest what should be the argument of order.by and whether that will give me the desired result
Currently, the default vcovHAC() method just implements the time series case. A generalization to panel data is not yet available.
Maybe Yves and Giovanni (authors of "plm") have done something in that direction...
sorry, Z
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