VARHAC Covariance Matrix Estimator (FORTRAN)

Wouter Denhaan () and Andrew Theo Levin ()

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: This program calculates the VARHAC covariance matrix estimator proposed in Den Haan and Levin (1994). The FORTRAN procedure calculates the VARHAC spectral estimator of the spectral density at frequency zero for a number of input series.

Language: FORTRAN
Date: 1996
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Downloads: (external link)
http://dge.repec.org/codes/denhaan/varhac/fortran/varhac.f program code (application/x-fortran)
none

Related works:
Working Paper: A Practitioner's Guide to Robust Covariance Matrix Estimation (1996)
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Persistent link: http://EconPapers.repec.org/RePEc:dge:qmrbcd:63

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