May I use the Newey-West procedure when I have only autocorrelation?
Or can I only use the Newey-West when I have autocorrelation and heteroscedasticity?
Solved – Newey-West robust standard errors for autocorrelation only (no heteroskedasticity)
autocorrelationheteroscedasticityrobust-standard-error
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Best Answer
The N-W error structure is assumed to be heteroskedastic and possibly autocorrelated up to some lag.
If you errors are assumed to follow a first-order autoregressive process, you can use Prais-Winsten or Cochrane-Orcutt regression.
If it is longer, ARMA might work.