The following Matlab project contains the source code and Matlab examples used for regstats enhanced. robust std.errors; loops on a matrix of responses, 'onlydata' model. .
This enhanced version of regstats has implemented several methods to estimate robust standard errors for coefficients:
- HC0: White robust t statistics (Eicker,1963,1967; Huber,1967; White,1980)
- HC1: With dfe correction (Hinkley,1977)
- HC2: White weighted by 1-h (MacKinnon & White,1985)
- HC3: White weighted by (1-h)^2 (Davidson & MacKinnon,1993)