Robust standard errors with autocorrelation
Summary
Setup
\[y_t=β_1+β_2x_{t,2}+...+ β_kx_{t,k}+ε_t , t=1,…,T\]
- All data is stationary
- The explanatory variables are exogenous
- The error terms are autocorrelated and/or heteroscedastic
Robust standard errors
Robust standard errors are available which, under certain conditions, are consistent. Most popular are the Newey-West standard errors.