#' NW_hac_STATA
#' tbd
#'
#' @param vars tbd
#' @param lags tbd
#'
#' @return Sigma: tbd
#'
#' @export
#'
NW_hac_STATA <- function(vars, lags) {
Sigma0 = (1 / (dim(vars)[1])) * (t(vars) %*% vars)
Sigma = Sigma0
if (lags >= 1) {
for (n in 1:lags) {
Sigma = Sigma + (1 - n / (lags + 1)) * (Sigma_cov(vars, n) + t(Sigma_cov(vars, n)))
}
}
return(Sigma)
}
Sigma_cov <- function(vars, k) {
return((1 / (dim(vars)[1])) * t(vars[1:(nrow(vars) - k), ]) %*% vars[(1 +
k):nrow(vars), ])
}
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