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From: Leslie Wear on 20 Apr 2010 10:22
"Tom Pachulka" <tom_pach(a)hotmail.com> wrote in message <eedb3a6.0(a)webx.raydaftYaTP>...
> Tom Pachulka wrote:
> >
> >
> > Hi everybody,
> >
> > I run a regression and discover that residuals are heteroskedastic
> > and serially correlated. Are there any tools in MATLAB that correct
> > this problem?
> >
> > I.e., I'd like to calculate robust standard errors (Hansen-White
> > method, Newey-West method, or something else of this sort.)
> >
> > Thanks!
>
> Nobody has an answer? :-(

Have a look at this link. The toolbox includes m-files for both Newey-West adjusted heteroscedastic-serial consistent least-squares regressions as well as White's adjusted heteroscedastic consistent Least-squares Regressions

http://www.spatial-econometrics.com/
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