<p>White standard errors correct for heteroscedasticity only, whereas Newey West standard errors are robust to both Heteorscedasticity and Autocorrelation (HAC) .</p>

CC BY-SA 3.0
2016-02-11T09:46:57.880Z
"White standard errors correct for heteroscedasticity only" ... Well yes, they don't correct for autocorrelation, but even for heteroscedasticity they are not always reliable.  There is a useful discussion in Angrist & Pischke's  Mostly Harmless Econometrics (http://www.mostlyharmlesseconometrics.com/) pp 294-307 identifying two limitations: bias when the sample size is small, and a higher sampling variance than conventional standard errors.
Adam Bailey
CC BY-SA 3.0
2016-02-10T20:14:17.477Z
2016-02-10T22:28:06.400Z
2016-02-10T22:28:06.400Z
ChinG
<p>could you please help me to understand when I should use either white or newey-west standard erros?</p>

<p>I do work with time-series data. I look at both contemporaneous and intertemporal realtionships. </p>

<p>My understanding is that NW s.e. are appropriate when I look at an intertemporal realtionship and one variable is constracted using overalapping observations.</p>

<p>example I have y(t) and x(t) for t=1,...,T.</p>

<p>I construct y3(t) as y(t) + y(t+1) + y(t+2) for t=2:T-2, and then I regress y3(t+1) on x(t).</p>

<p>For this kind of regressions, it is common to use NW s.e., in particular if x is highly persistent.</p>

<p>Can you please help me to understand more in general how to choose between White and NW s.e. (or other s.e. appropriate for time-series analysis)?</p>

<p>Thanks a lot!</p>

<econometrics><time-series><statistics>
White versus Newey-West standard errors
frame
# White versus Newey-West standard errors

(Asked by: username_0 on 2016-02-10)

could you please help me to understand when I should use either white or newey-west standard erros?

I do work with time-series data. I look at both contemporaneous and intertemporal realtionships.

My understanding is that NW s.e. are appropriate when I look at an intertemporal realtionship and one variable is constracted using overalapping observations.

example I have y(t) and x(t) for t=1,...,T.

I construct y3(t) as y(t) + y(t+1) + y(t+2) for t=2:T-2, and then I regress y3(t+1) on x(t).

For this kind of regressions, it is common to use NW s.e., in particular if x is highly persistent.

Can you please help me to understand more in general how to choose between White and NW s.e. (or other s.e. appropriate for time-series analysis)?

Thanks a lot!

**Tags:** econometrics, time-series, statistics

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## 1 answers

### Answer by username_1 on 2016-02-10. Score: 2

White standard errors correct for heteroscedasticity only, whereas Newey West standard errors are robust to both Heteorscedasticity and Autocorrelation (HAC) .

> **Comments:**
> **username_2**: "White standard errors correct for heteroscedasticity only" ... Well yes, they don't correct for autocorrelation, but even for heteroscedasticity they are not always reliable.  There is a useful discussion in Angrist & Pischke's  Mostly Harmless Econometrics (http://www.mostlyharmlesseconometrics.com/) pp 294-307 identifying two limitations: bias when the sample size is small, and a higher sampling variance than conventional standard errors.  

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