How to store the regression coefficients and std.errors of the slope only (but not intercept)?

Dear all

I want to estimate a set of regressions with HAC covariance matrix. For this purpose, I created the function below. I have a N*N matrix whose columns are time series. I wish to regress each column on each other column and store the slopes in a N*N matrix, the serrors in another N*N matrix. Position (i,j) in these matrices would store the slope coefficient or serror of the regression of the data in column i on the data in column j. My problem is that the standard errors and the coefficients are returned in pairs (for the slope and for the intercept). How can I adapt the code below so that I only store the slope coefficients and associated st.errors but not those of the intercept?

Thanks!

function [mCoeff mSE mTstat] = regressionHAC(mMatrix)
  [~, C] = size(mMatrix,2);
  mCoeff = NaN(C,C);
  mSE = NaN(C,C);
  for j = 1 : C
    for k = 1 : C
      if j ~= k  % This is just to avoid regressing a column on itself
        [mCoeff(j,k) mSE(j,k)] = hac(mMatrix(:,k),mMatrix(:,j));
      end
    end
  end
  mTstat = mCoeff ./ mSE;
end

[James Grayot]

Please let me know if something was not clear with my explanation!

Answer 1

[dpb]

According to the doc, the coefficient vector is third output argument, not first...

[~,SE,Coeff] = hac(mMatrix(:,k),mMatrix(:,j));
mSE(j,k)=SE(end);
mCoeff(j,k)=Coeff(end);

I presume above it's a poly of degree 1; the intercept is first in position in the vector (again, according to the doc at <econ/hac>, hence the slope is last ( end) position in the output 2-vector. Matlab has no facility to subscript function results for even a single output argument, what more multiple ones, so just save each result as a temporary and then retrieve the desired quantities for posterity.

[James Grayot]

thanks!