Dear All,
Could you let me know how to estimate long run variance matrix in equation 17 in the attached paper?
I wonder whether we can estimate this in convenient way by using %cmon. Thank you very much for your help.
Best,
Aaron
long run variance matrix used in Hansen (1995)
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Aaron
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long run variance matrix used in Hansen (1995)
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TomDoan
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Re: long run variance matrix used in Hansen (1995)
Use MCOV with the appropriate LAGS and LWINDOW options. rho^2 will then be computed as %CMOM(1,2)^2/(%CMOM(1,1)*%CMOM(2,2))