Robust covariance estimators in 'lp_lin_panel' and 'lp_nl_panel'

AdaemmerP / lpirfs

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Closed AdaemmerP closed 6 years ago

AdaemmerP commented 6 years ago

The development version of lpirfs contained two bugs regarding the robust covariance matrix estimators:

'lp_lin_panel' always used 'vcovSCC' (Driscoll-Kraay estimator) if a robust covariance estimator has been specified.
'lp_nl_panel' always used 'vcovNW' (Newey-West estimator) if a robust covariance estimator has been specified.

AdaemmerP commented 6 years ago