# Newey West standard errors give me more significance

I had a time series model with 5 time series variables and it's a model that's reputed in the literature for having autocorrelation problems. Why when I use standard OLS var-covar matrix only 2 variables are (highly) significant but with Newey West varcovar matrix 4 of the variables are (highly) significant (1% level)?

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 I have 1000 time series observations and it's my HAC Newey West that is giving me significance across the board (you said they were "biased down"? Or did you mean SEs were biased down and not the test statistic?) – user14281 Oct 3 '12 at 14:04 The standard errors are biased down. $n=1000$ should not give you trouble. Look at the ACF/PACFs to see if you can spot any negative autocorrelations of the residuals. May be your model is simply misspecified, and then there is little you can do about it other than adding some extra terms, lags, etc. – StasK Oct 3 '12 at 14:07