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VARHAC Covariance Matrix Estimator (GAUSS)

  • Wouter Denhaan

    (London Business School)

  • Andrew T. Levin

These 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., program to calculate OLS parameter estimates and VARHAC standard errors. exam1.dat, sample data file for exam2.dat, a second sample data file for, another example program.

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Software component provided by Quantitative Macroeconomics & Real Business Cycles in its series QM&RBC Codes with number 64.

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Programming language: GAUSS
Date of creation: 1996
Date of revision:
Handle: RePEc:dge:qmrbcd:64
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