Hi Mingyang,
I understand that you want to estimate the heteroscedasticity and autocorrelation consistent covariance estimator specifically using Newey West Method for linear regression. In order to obtain the covariance estimate, you can use the ‘hac’ function.
[EstCoeffCov,se,coeff] = hac(X,y)
where, ‘EstCoeffCov’ is the robust covariance matrix estimate.
For more information, please refer to the following documentation: https://www.mathworks.com/help/econ/hac.html
I hope this resolves your query.
