VARHAC Covariance Matrix Estimator (FORTRAN)
AbstractThis 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.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 63.
Programming language: FORTRAN
Date of creation: 1996
Date of revision:
Other versions of this item:
- Wouter J. Den Haan & Andrew T. Levin, 1996. "A Practitioner's Guide to Robust Covariance Matrix Estimation," NBER Technical Working Papers 0197, National Bureau of Economic Research, Inc.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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