including Newey–West, White, and Arellano. In R, the packages sandwich and plm include a function for the Newey–West estimator. In Stata, the command newey produces Newey–West standard errors for coefficients estimated by OLS regression. In MATLAB, the command hac in the Econometrics toolbox produces the Newey–West estimator (among others). In Python, the statsmodels module includes functions for the covariance matrix using Newey-West. In Gretl, the option --robust to several estimation commands (such as ols) in the context of a time-series dataset produces Newey–West standard errors. In SAS, the Newey-West corrected standard errors can be obtained in PROC AUTOREG and PROC MODEL See also Heteroskedasticity-consistent standard errors References Further reading Estimator Regression with time series structure Estimation methods