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VARHAC Covariance Matrix Estimator (GAUSS)

Author

Listed:
  • Wouter Denhaan

    (London Business School)

  • Andrew T. Levin
Programming Language GAUSS Abstract
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. ls.pro, program to calculate OLS parameter estimates and VARHAC standard errors. exam1.dat, sample data file for ls.pro. exam2.dat, a second sample data file for ls.pro. exgauss1.pro, another example program.

Suggested Citation

  • Wouter Denhaan & Andrew T. Levin, 1996. "VARHAC Covariance Matrix Estimator (GAUSS)," QM&RBC Codes 64, Quantitative Macroeconomics & Real Business Cycles.
    • Handle: RePEc:dge:qmrbcd:64
    as

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    File URL: https://dge.repec.org/codes/denhaan/varhac/gauss/
    File Function: program code
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    Keywords

    GAUSS;

    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

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