Hi, there is some old code by Jack that implements a specific data-based bandwidth choice for the typical estimation of the long-run (co)variance. It is primarily meant for a quadratic kernel. I'm including the hansl function at the end. My question is: Is that choice somehow already implemented in gretl through some "set" option? I know I can choose the quadratic kernel via "set hac_kernel qs", and its bandwidth via "set qs_bandwidth <something>". But is there something built-in that sets the bandwidth to what the function below returns? If not, would it make sense to add that option? thanks sven -------- function matrix c_bandw (const matrix vhat) # procedure that computes the automatic bandwidth based on AR(1) # approximation for each vector of the matrix vhat. Each are given # equal weigths of 1. nt = rows(vhat) matrix vt = vhat[2:nt, ] matrix vlag = vhat[1:nt-1, ] matrix b = sumc(vt .* vlag) ./ sumc(vlag.^2) matrix tmp = (1 - b) .^ 4 matrix res = vt - vlag .* b matrix sig = sdc(res) .^ 2 matrix a2n = sumr( (2 .* b .* sig) .^2 ./ tmp ) matrix a2d = sumr( sig .* sig ./ tmp ) matrix a2 = sumr(a2n) / sumr(a2d) return 1.3221 * (a2 * nt) .^ 0.2 end function