VARHAC Covariance Matrix Estimator (RATS)
AbstractThese 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).
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Bibliographic InfoSoftware component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 65.
Programming language: RATS
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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