CovAhat_Sigmahat_Gamma: CovAhat_Sigmahat_Gamma

Description Usage Arguments Value

View source: R/CovAhat_Sigmahat_Gamma.R

Description

Estimates the asymptotic covariance matrix

Usage

1
CovAhat_Sigmahat_Gamma(p, X, Z, eta, lags)

Arguments

p

Number of lags in the VAR model

X

VAR "right-hand" variables

Z

external instrument

eta

eta

lags

Newey-West lags

Value

WHataux asymptotic variance of

WHat asymptotic variance of

V Matrix such that


martinbaumgaertner/varexternal documentation built on Nov. 20, 2019, 11:28 p.m.