Softwares
ALESSANDRO CASINI
DK-HAC Package
This package implements the DK-HAC covariance matrix estimators and robust standard errors from Casini (2021). It also includes ordinary functions for regression analysis with robust (DK-HAC) standard errors.
Link to software implementation: DK-HAC (Matlab, R and Stata).
Background papers: Belotti et al. (2021), Casini (2021), Casini and Perron (2021), Casini, Deng and Perron (2021).
All-Inside Package
This package provides tools for simultaneously detecting abrupt (i.e., breaks) or smooth change-points in any of the following: mean, variance, covariance and autocorrelation. The methods are based on frequency domain statistics as developed in Casini and Perron (2021).
Link to software implementation: All-Inside (Matlab, R and Stata).
Background paper: Casini and Perron (2021).