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- Sun Nov 05, 2017 4:58 pm
- Forum: Econometric Discussions
- Topic: OLS with Newey West(HAC) Covariance method
- Replies: 1
- Views: 3251
OLS with Newey West(HAC) Covariance method
I estimated an OLS with the Newey West(HAC) Covariance method.The estimation output has a Wald F-Statistic value in addition to a different and higher F statistic value. How can I manually calculate the Wald F statistic value with the Newey West variance-covariance matrix in Matlab without any funct...