Newey-West Standard Errors

버전 1.2.0.0 (1.49 KB) 작성자: Guillaume Nolin
Computes Newey-West adjusted heteroscedastic-serial consistent standard errors.
5.0
(1)
다운로드 수: 2.9K
업데이트 날짜: 2014/2/21

라이선스 보기

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.

인용 양식

Guillaume Nolin (2025). Newey-West Standard Errors (https://kr.mathworks.com/matlabcentral/fileexchange/41275-newey-west-standard-errors), MATLAB Central File Exchange. 검색 날짜: .

MATLAB 릴리스 호환 정보
개발 환경: R2012a
모든 릴리스와 호환
플랫폼 호환성
Windows macOS Linux
카테고리
Help Center 및 MATLAB Answers에서 Classification Trees에 대해 자세히 알아보기
태그 태그 추가
도움

도움 준 파일: OLS with Newey-West and Hansen-Hodrick SE

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

버전 게시됨 릴리스 정보
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.
1.0.0.0