Newey West Standard Error Matlab
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Matlab Hac
and Other Reference Release Notes PDF Documentation Model Selection Nonspherical Models matlab newey west covariance Econometrics Toolbox Time Series Regression Models Econometrics Toolbox Functions hac On this page Syntax Description Examples Estimate White's newey west t statistic matlab Robust Covariance for OLS Coefficient Estimates Estimate the Newey-West OLS Coefficient Covariance Matrix Plot Kernel Densities Related Examples Input Arguments X y Tbl Mdl Name-Value Pair Arguments 'varNames' 'intercept'
Newey West Hac
'type' 'weights' 'bandwidth' 'smallT' 'whiten' 'display' Output Arguments EstCov se coeff More About Sandwich Estimators Lag-Truncation Parameter Tips Algorithms References See Also This is machine translation Translated by Mouse over text to see original. Click the button below to return to the English verison of the page. Back to English × Translate This Page Select Language Bulgarian Catalan Chinese
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Simplified Chinese Traditional Czech Danish Dutch English Estonian Finnish French German Greek Haitian Creole Hindi Hmong Daw Hungarian Indonesian Italian Japanese Korean Latvian Lithuanian Malay Maltese Norwegian Polish Portuguese Romanian Russian Slovak Slovenian Spanish Swedish Thai Turkish Ukrainian Vietnamese Welsh MathWorks Machine Translation The automated translation of this page is provided by a general purpose third party translator tool. MathWorks does not warrant, and disclaims all liability for, the accuracy, suitability, or fitness for purpose of the translation. Translate hacHeteroscedasticity and autocorrelation consistent covariance estimatorscollapse all in page SyntaxEstCov = hac(X,y) exampleEstCov = hac(Tbl) exampleEstCov = hac(Mdl) exampleEstCov = hac(___,Name,Value) example[EstCov,se,coeff] = hac(___) exampleDescription exampleEstCov = hac(X,y) returns robust covariance estimates for ordinary least squares (OLS) coefficient estimates of multiple linear regression models y = Xβ + ε under general forms of heteroscedasticity and autocorrelation in the innovations process ε.NaNs in the data indicate missing values, which hac removes using list-wise deletion. hac sets Data = [X y], then it removes any row in Data containing at least one NaN. Thi
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Explorer in MATLAB. » Watch video Highlights from Newey-West Standard an improved heteroskedasticity and autocorrelation consistent covariance matrix estimator Errors NeweyWest(e,X,L,constant)PURPOSE: computes Newey-West adjusted heteroscedastic-serial View all files Join the 15-year community celebration. Play games and https://www.mathworks.com/help/econ/hac.html win prizes! » Learn more Newey-West Standard Errors by Guillaume Nolin Guillaume Nolin (view profile) 2 files 20 downloads 5.0 14 Apr 2013 (Updated 21 Feb 2014) Computes Newey-West adjusted heteroscedastic-serial consistent https://www.mathworks.com/matlabcentral/fileexchange/41275-newey-west-standard-errors/content/NeweyWest.m standard errors. NeweyWest(e,X,L,constant) Contact us MathWorks Accelerating the pace of engineering and science MathWorks is the leading developer of mathematical computing software for engineers and scientists. Discover... Explore Products MATLAB Simulink Student Software Hardware Support File Exchange Try or Buy Downloads Trial Software Contact Sales Pricing and Licensing Learn to Use Documentation Tutorials Examples Videos and Webinars Training Get Support Installation Help Answers Consulting License Center About MathWorks Careers Company Overview Newsroom Social Mission © 1994-2016 The MathWorks, Inc. Patents Trademarks Privacy Policy Preventing Piracy Terms of Use RSS Google+ Facebook Twitter
Support Answers MathWorks Search MathWorks.com MathWorks Answers Support MATLAB Answers™ MATLAB Central Community Home MATLAB Answers File Exchange Cody Blogs Newsreader Link Exchange ThingSpeak Anniversary http://www.mathworks.com/matlabcentral/answers/258285-newey-west-standard-error Home Ask Answer Browse More Contributors Recent Activity Flagged Content Flagged as Spam Help MATLAB Central Community Home MATLAB Answers File Exchange Cody Blogs Newsreader Link Exchange ThingSpeak Anniversary Home Ask Answer Browse More Contributors Recent Activity Flagged Content Flagged as Spam Help Trial software Florian Fbr (view profile) 7 questions 0 answers 0 accepted answers Reputation: 0 Vote0 Newey newey west West Standard Error Asked by Florian Fbr Florian Fbr (view profile) 7 questions 0 answers 0 accepted answers Reputation: 0 on 30 Nov 2015 Latest activity Edited by Florian Fbr Florian Fbr (view profile) 7 questions 0 answers 0 accepted answers Reputation: 0 on 3 Dec 2015 Accepted Answer by Steven Lord Steven Lord (view profile) 0 questions 933 answers 268 newey west standard accepted answers Reputation: 1,584 4 views (last 30 days) 4 views (last 30 days) Please see below my Newey West Standard Error. Somehow its not working as intendet but i have no clue why. The error message of Matlab does not really contain helpful advise.Can anyone of you identify the error that i made in the Code?The file should get X and g (145) from my main file. It always says that it might be unbalanced but i dont see any unbalanced term.function HCsterr = HCse(resid,X,const) [n,~] = size(X); if const == 1 X = [ones(n,1),X]; end g = floor(4*(n/100)^(2/9)); R = sum( arrayfun( @(h) sum(X(h+1:n).*e(h+1:n).*e(1:n-h).*Xprime(1:n-h) + X(1:n-h).*e(1:n-h).e(h+1:n).*Xprime(h+1:n)) / (1 + h/(g+1), 1:g) )); VCV = (X' * X)^(-1) * ((X' * diag(resid.^2) * X)+R) * (X' * X)^(-1); % HCSE HCsterr = sqrt(diag(VCV)); end 0 Comments Show all comments Tags newey west robust standard error Products No products are associated with this question. Related Content 1 Answer Steven Lord (view profile) 0 questions 933 answers 268 accepted answers Reputation: 1,584 Vote0 Link Direct link to this answer: http://www.mathwor