I have been wondering, in a couple of books on econometrics I have discovered that they explain many things in regards to the distribution of beta. I therefore have an example and a couple of question related to it:
What does the variance covariance matrix actually do. And when I have computed it as below how to I add this to the residuals to so that I get the White residuals. I know how to calculate the OLS its projection matrix and how to calculate the residuals, I am also able to calculate the formula given below, I am however not able to see how to move further to correct the errors that I have extracted by calculating the OLS.
Please help, are several students(class mates) that are struggling with understanding this. Our teacher said that we need to be able to do this before we get our assignment because apparently our assignment relies on getting a list of the corrected residuals.
EDIT: I have edited the question because I got a comment,
What I want to compute is a vector with the residuals after applying the newey west standard errors. There is a reason why I need this list of standard errors. I therefor wonder if anyone would be so kind and explain how to do this step by step.