VARHAC Covariance Matrix Estimator (GAUSS)

Wouter Denhaan () and Andrew Theo Levin ()

QM&RBC Codes from Quantitative Macroeconomics & Real Business Cycles

Abstract: These programs calculate the VARHAC covariance matrix estimator proposed in Den Haan and Levin (1994) . The GAUSS procedure calculates the VARHAC spectral estimator of the spectral density at frequency zero for a number of input series. Included files: vhgauss3.src, gauss VARHAC procedure. ls.pro, program to calculate OLS parameter estimates and VARHAC standard errors. exam1.dat, sample data file for ls.pro. exam2.dat, a second sample data file for ls.pro. exgauss1.pro, another example program.

Language: GAUSS
Date: 1996
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Downloads: (external link)
http://dge.repec.org/codes/denhaan/varhac/gauss/ program code (application/x-gauss)
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:64

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