how to use White heteroskedasticity-consistent standard error estimators in OLS regression?
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Hello,
My question is quite straight forward: is there a function on matlab or one of its add-ins that calculates OLS regression estimators with White heteroskedasticity-consistent standard errors? Instead of doing the whole calculations...
Thanks in advance!
Arnaud
Answers (1)
Roger Wohlwend
on 2 Jun 2014
0 votes
Yes, there is! The Matlab function is called hac .
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on 2 Jun 2014
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