fama matlab源码_Matlab：计算Fama Macbeth方法的HAC（Newey West）标准误差

我正在尝试在Matlab中计算FAMA MacBeth斜率系数的Newey West t统计量。我应该在每个横截面回归中计算标准误差吗？

for j=1:T

....

Result=regstats2(y(:,T),x(:,T),'linear',{'beta' 'r' 'tstat' 'rsquare'});

BETAS1(j,DUMMY_AVAILABILITY_INDEX) = Result.beta;

TSTAT(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.t;

PVAL(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.pval;

SE(j,DUMMY_AVAILABILITY_INDEX) = Result.tstat.se;

RSQ(j) = 1 - ((1-Result.rsquare)* (size(NR_INDEX,1)-1) / (size(NR_INDEX,1) - (size(x,2)-1)));

FIT(NR_INDEX,j) = x * BETAS1(j,DUMMY_AVAILABILITY_INDEX)' ;

RESIDUALS(NR_INDEX,j)=y - FIT(NR_INDEX,j); % The residuals

RESIDUALS_PERCENT(NR_INDEX,j)=y ./ FIT(NR_INDEX,j); % The residuals

end

end

otherwise

error('BASE_CASE input should be true or false')

end % end s