Newey-West standard errors with nlinfit
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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
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