MATLAB: Hac function: pvalues or confidence intervals

Question

Hi, the function

hac

returns as coefficients the same of standard OLS. Is this correct? What changes is the covariance matrix.

At this point I would like to ask you how I could obtain the pvalues of the coefficients with hac methodology or how to get a confidence interval. I googled a bit but I could not find specific answer.

Thanks

Answer 1

Hi Fregior,

Yes, the point estimator returned by HAC is the same as the OLS estimator.

HAC returns the covariance matrix EstCov. Then we can compute the standard erros, t-statistics, p-values and confidence intervals:

SE = sqrt(diag(EstCov))

tStat = OLS ./ SE

pVal = erfc(0.7071 * abs(tStat))

CI = [OLS-2*SE, OLS+2*SE]