VARHAC Covariance Matrix Estimator (RATS)
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).
|Date of creation:||1996|
|Date of revision:|
|Contact details of provider:|| Postal: |
Web page: http://dge.repec.org/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:dge:qmrbcd:65. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Zimmermann)
If references are entirely missing, you can add them using this form.