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VARHAC Covariance Matrix Estimator (RATS)

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Author Info

  • Wouter Denhaan

    (London Business School)

  • Andrew T. Levin

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).

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File URL: http://dge.repec.org/codes/denhaan/varhac/rats
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Bibliographic Info

Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 65.

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Programming language: RATS
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Date of creation: 1996
Date of revision:
Handle: RePEc:dge:qmrbcd:65

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