VARHAC Covariance Matrix Estimator (GAUSS)
AbstractThese 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.
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 64.
Programming language: GAUSS
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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