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

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Arnaud
Arnaud 2014년 6월 2일
답변: Roger Wohlwend 2014년 6월 2일
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

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Roger Wohlwend
Roger Wohlwend 2014년 6월 2일
Yes, there is! The Matlab function is called hac .

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