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alessandro-casini/DK-HAC

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Created almost 4 years ago
Updated almost 4 years ago

alessandro-casini/DK-HAC

alessandro-casini

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A set of functions implementing the DK-HAC covariance matrix estimators and robust standard errors from Casini (2021) and Casini and Perron (2021b).

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Detection and estimation of ant type of break/change-point in mean, variance, covariance and autocorrelation in a single code.