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HAC Standard Errors #675

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s3alfisc opened this issue Oct 26, 2024 · 0 comments
Open

HAC Standard Errors #675

s3alfisc opened this issue Oct 26, 2024 · 0 comments
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s3alfisc commented Oct 26, 2024 •
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See equations (9) and (10) in Various Versatile Variances. See also this set of lecture notes.

Implement utility functions _vcov_hc() and _vcov_hac() following the R sandwich package.

Allow arguments "hac" for pf.feols() and pf.fepois().

Likely, everything needs to be implemented in numba for performance reasons; the estimators are hard to vectorize.
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