Newey-West standard errors with nlinfit
3 vues (au cours des 30 derniers jours)
Afficher commentaires plus anciens
Hi,
Most people using the Econometrics toolbox know the function hac to calculate heteroscedasticity and autocorrelation consistent covariance estimators (<http://www.mathworks.com/help/econ/hac.html)>.
If the model is non linear or hard to write in Wilkinson Notation (<http://www.mathworks.com/help/stats/fitlm.html)>, then nlinfit (or the most recent fitnlm) might be quite handy.
The question is then: is MATLAB currently capable of providing Newey-West standard errors for nlinfit (or fitnlm) outputs? There is the RobustWgtFun option, but there is no option currently able to accomplish this it seems. Most File-Exchange codes are for straightforward linear models, including NeweyWest(e,X,L) (<http://www.mathworks.com/matlabcentral/fileexchange/41275-newey-west-standard-errors)>.
Many thanks for your thoughts on this,
Nic
0 commentaires
Réponses (0)
Voir également
Catégories
En savoir plus sur Conditional Mean Models dans Help Center et File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!