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A program to compute long-run covariance matrices
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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Software component provided by in its series Rats codes
Date of creation:
03 Dec 1996Date of revision:
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