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A program to compute long-run covariance matrices

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Author Info
Simon van Norden (HEC Montreal)

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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.

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File URL: ftp://all.repec.org/RePEc/cod/html/Rats/svnorden.si
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File URL: ftp://all.repec.org/RePEc/cod/html/Rats/hac
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Publisher Info
Software component provided by in its series Rats codes with number hac.

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Programming language: RATS
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Date of creation: 03 Dec 1996
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Handle: RePEc:cod:ratscd:hac

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For technical questions regarding this item, or to correct its listing, contact: (Thomas Krichel).

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