IDEAS home Printed from

VARHAC Covariance Matrix Estimator (RATS)


  • Wouter Denhaan

    (London Business School)

  • Andrew T. Levin


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).

Suggested Citation

  • Wouter Denhaan & Andrew T. Levin, 1996. "VARHAC Covariance Matrix Estimator (RATS)," QM&RBC Codes 65, Quantitative Macroeconomics & Real Business Cycles.
  • Handle: RePEc:dge:qmrbcd:65

    Download full text from publisher

    File URL:
    File Function: program code
    Download Restriction: none

    Other versions of this item:

    More about this item

    JEL classification:

    • 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


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.