how to use White heterosked​asticity-c​onsistent standard error estimators in OLS regression?

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

Answer 1

[Roger Wohlwend]

Yes, there is! The Matlab function is called hac .