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.