Dear Mr. Komarov,
I am just searching the Internet for an application to compute the HAC-Standard Error of Newey and West (1987) that I want to use to calculate an unbiased t-statistic of a sample I created.
The sample contents Buy-and-Hold excess returns of Firms over periods larger then 2 years. With a limited data sample you will only have enough observations when the Formation- and Holding periods are overlapping.
The question is now how I can extract the HAC standard error from your script regstats2.m to calculate the t-statistic with a robust standard error or especially if thatâ€™s possible.
I tried to write a PN but that didn't work. (Unknown e-mail address)
Thanks for the Help!
Sven

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01 May 2011

regstats2
Regstats enhanced. Robust std.errors; loops on a matrix of responses, 'onlydata' model.

Dear Oleg, thanks for your code, it's great. I have a question, how can I change the lags for the HAC estimator? What's the default?
Thanks a lot and keep up the good work,
Fernando

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