getvarmatrix.m

This folder has some scritps that you may find usefull. All of it comes from questions that I ve r

% Function for calculating standard errors of MS_Regress_Fit
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% The calculation (aproximation) of the first and second derivative of the likelihood
% function is done by central finite differences
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% Two method were implemented here, the 'white' and also the 'newey_west'
% method. The vector output from the last one is sometimes called "robust standard errors".
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% References:
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% NEWEY, B., WEST, D (1987) 慉 Simple, Positive semidefinite, Heteroskedasticity
% and Autocorrelation Consistent Covariance Matrix