Is there a way of performing HAC robust standard errors in SPSS?
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Best Answer
Since this question has not been answered for over a year and I stumbled upon an article with a macro for the simple HC correlation I thought it might be worth mentioning. The article is available here and has at the end a macro that allows for HC calculation. Using the R code from the sandwich-package vcovHAC (esp. the meatHAC) functions it might be feasible to create a macro for SPSS that handles HAC errors.
That said, why not just go with R and the sandwich-package? You can even work inside SPSS with R using the essentials for R-addon.
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