Hi,
Is there an easy (any) way to compute the Newey-West t-stats in MatLab?
Thanks!
Newey-West
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nuno
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Newey-West
google says:
http://www.econ.yale.edu/~gjh9/econ526b/nwse.m
http://www.econ.yale.edu/~gjh9/econ526b/nwse.m
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olbi
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Newey-West
thanks, nuno! I found a different one and tweaked it a little yesterday.