A program to compute long-run covariance matrices
Simon van Norden ()
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.
References: Add references at CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
ftp://ftp.repec.org/RePEc/cod/html/Rats/svnorden.si Software information (text/plain)
ftp://ftp.repec.org/RePEc/cod/html/Rats/hac programs (text/plain)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:cod:ratscd:hac
Access Statistics for this software item
More software in Rats codes
Bibliographic data for series maintained by Christopher F. Baum ().