Newey-West standard errors

Newey-West standard errors are a statistical tool used to improve the accuracy of error estimates in regression analysis, especially when data points are correlated over time, as often happens in economic and financial data. Traditional standard errors assume that each data point is independent, but this isn't always true. Newey-West adjusts for potential correlations and variability in the data, providing more reliable measures of uncertainty around the estimated parameters. This helps researchers avoid overconfidence in their results and ensures more accurate conclusions when analyzing time-dependent data.