IDEAS home Printed from

A program to compute long-run covariance matrices



Programming Language



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.

Suggested Citation

  • Simon van Norden, 1996. "A program to compute long-run covariance matrices," Rats codes hac, .
  • Handle: RePEc:cod:ratscd:hac

    Download full text from publisher

    File URL:
    File Function: Software information
    Download Restriction: no

    File URL:
    File Function: programs
    Download Restriction: no

    More about this item




    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cod:ratscd:hac. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christopher F. Baum (email available below). General contact details of provider: .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.