Newey-West Standard Errors

Version 1.2.0.0 (1.49 KB) by Guillaume Nolin
Computes Newey-West adjusted heteroscedastic-serial consistent standard errors.
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Updated 21 Feb 2014

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Computes Newey-West adjusted heteroscedastic-serial consistent standard errors.
Allows for a selection of lag lenght or (by default) selects an optimal lag length based on the Newey-West(1994) plug-in procedure.

Cite As

Guillaume Nolin (2024). Newey-West Standard Errors (https://www.mathworks.com/matlabcentral/fileexchange/41275-newey-west-standard-errors), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired: OLS with Newey-West and Hansen-Hodrick SE

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Version Published Release Notes
1.2.0.0

Adds the possibility to add or remove a constant term (a column of ones) as an independent variable in the 'X' matrix. Also provides the ability to compute Newey-West standard errors without inputing 'X', with a constant term by default.
1.1.0.0

Updated to handle a single time series.
1.0.0.0