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

16 Ansichten (letzte 30 Tage)
Arnaud
Arnaud am 2 Jun. 2014
Beantwortet: Roger Wohlwend am 2 Jun. 2014
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

Melden Sie sich an, um diese Frage zu beantworten.

Antworten (1)

Roger Wohlwend
Roger Wohlwend am 2 Jun. 2014
Yes, there is! The Matlab function is called hac .

Kategorien

Mehr zu Linear Regression finden Sie in Help Center und File Exchange

Tags

Community Treasure Hunt

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

Start Hunting!

Translated by