Newey-West Standard Errors
Computes Newey-West adjusted heteroscedastic-serial consistent standard errors.
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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 (2026). Newey-West Standard Errors (https://www.mathworks.com/matlabcentral/fileexchange/41275-newey-west-standard-errors), MATLAB Central File Exchange. Retrieved .
Acknowledgements
General Information
- Version 1.2.0.0 (1.49 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 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. |
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| 1.0.0.0 |
