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A program to compute long-run covariance matrices

Simon van Norden ()

Rats codes

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
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Handle: RePEc:cod:ratscd:hac