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Nick Baltas

Imperial College Business School

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Lecturer in Finance


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11 Feb 2010 regstats2 Regstats enhanced. Robust std.errors; loops on a matrix of responses, 'onlydata' model. Author: Oleg Komarov

Hi Oleg,

great stuff.

I am doing portfolio evaluation and I have a time-series of monthly returns. These are autocorrelated, given the formation algorithm that I am using. I need to get the t-stats and adjust for autocorrelation. I am using your function to regress my data on a contanct, thus, I am using: regstats2(data,zeros(length(data),1),'linear',{'beta','hac'}), since linear model will add the constant on its own, hence I am adding some artificial zero-constant regressor, otherwise I cannot make the function work (e.g. have an empty matrix).

The outcome when it comes to betas is correct, i.e. the constant term is indeed the mean of my series..however all the elements of hac field are NaN, and I suspect that this comes from the zero vector used in the function call....

To cut a long story short...regressing on a single constant and getting the Newey-west st.error, is it feasible??

Thanks a lot,

HAC t-stats but si

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