View source: R/CovAhat_Sigmahat_Gamma.R
CovAhat_Sigmahat_Gamma | R Documentation |
Estimates the asymptotic covariance matrix
CovAhat_Sigmahat_Gamma(p, X, Z, eta, lags)
p |
Number of lags in the VAR model |
X |
VAR "right-hand" variables |
Z |
external instrument |
eta |
eta |
lags |
Newey-West lags |
WHataux asymptotic variance of
WHat asymptotic variance of
V Matrix such that
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