[R] Serial Correlation in panel data regression

[Achim Zeileis]

On Tue, 8 Dec 2009, sayan dasgupta wrote:

> Dear R users,
> I have a question here
> 
> library(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