OLS with Newey-West and Hansen-Hodrick SE

Computes OLS and reports Robust SE, NW AND HH corrected standard errors.

% PURPOSE: computes OLS and reports Robust SE, and Newey-West and Hansen-Hodrick adjusted heteroscedastic-serial consistent standard errors.

% Inputs:
% y = T x 1 vector, left hand variable data
% X = T x n matrix, right hand variable data
% L = number of lags to include in NW corrected standard errors
% H = number of lags to include in HH corrected standard errors
%
%Note: you must make one column of X a vector of ones if you want a
% constant.
% Output:
% beta = regression coefficients 1 x n vector of coefficients
% R2 = unadjusted
% R2adj = adjusted R2
% X2(Degrees of Freedom) = : Chi-squared statistic for all coefficients
% jointly zero.
% std = corrected standard errors.
% t_ = t-stat for NW and HH
%Note: For chi-square test program checks whether first is a constant and ignores that one for
% test. If there is only one beta the program does not report X^2
% results since t_stat^2= X2.
%Note: program automatically displays outputs in an organized format. If you want
%to disable the automatic display just comment lines 129-136.