Re: [Gretl-devel] [Gretl-users] multivariate lrvar?
Am 14.04.2018 um 15:08 schrieb Riccardo (Jack) Lucchetti:
On Sat, 14 Apr 2018, Riccardo (Jack) Lucchetti wrote:
> The following implementation looks reasonably efficient to me.
[...]
And, by the way, lends itself quite nicely to also implementing VAR
prewhitening à la Andrews:
Thanks; and speaking about VARs, it is possible to ask gretl for HAC
cov-estimation there, too. (See also section 19.3 of the guide.) The HAC
errors internally use an estimate of the long-run variance of the
residuals, I would expect, right? That would mean that the necessary
code is already in gretl (in C), it's just not accessible at the hansl
level - is that correct?
thanks,
sven