MATLAB: Robust standard errors on coefficients in a robust linear regression

Econometrics Toolboxlinear regressionlinearmodel.fitrobust linear regressionrobust regressionrobust standard errorsStatistics and Machine Learning Toolbox

I am new in MATLAB and have performed a robust linear regression with the 2 commands:
ds = dataset('XLSFile','C:\...\data.xlsx','ReadObsNames',true);
mdl = LinearModel.fit(ds,'linear','RobustOpts','on');
The standard errors (SE) shown in the property "Coefficients", are these the heteroskedasticity robust standard errors? If not, how can I modify my commands such that I get the robust standard errors?

Best Answer

The output is robust to outliers and are not heteroskedasticity consistent estimates.
If that is what you are interested in, please check out the HAC command in the Econometrics Toolbox:
http://www.mathworks.com/help/econ/hac.html
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