VARHAC Covariance Matrix Estimator (RATS)

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) . RATS procedure calculates the VARHAC spectral estimator of the spectral density at frequency zero for a number of input series. The RATS OLS procedure calculates the least-squares estimates and robust standard errors, calculated with the VARHAC procedure. The commands and the options are described in the programs. The only difference between the dos and the unix version is how neatly the menus appear on your screen when you choose to use the interactive mode. Included files: varhac.src, rats VARHAC program (dos version). varhac2.src, rats VARHAC program (unix version). vhols, rats OLS program (dos version). vhols2, rats OLS program (unix version).

Language: RATS
Date: 1996
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Downloads: (external link)
http://dge.repec.org/codes/denhaan/varhac/rats program code (application/x-rats)
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:65

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