A program to compute long-run covariance matrices

Abstract: This RATS procedure is intended to help extend RATS' ability to calculate heteroscedasticity-robust standard errors to the multivariate case. Specifically, given a number of series @HAC will compute an estimate of their long-run variance-covariance matrix. The user can then use this to construct the corrected standard errors depending on the particular of their case.

Language: RATS
Date: 1996-12-03

Downloads: (external link)
ftp://all.repec.org/ ... tml/Rats/svnorden.si Software information (text/plain)
ftp://all.repec.org/RePEc/cod/html/Rats/hac programs (text/plain)

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