IDEAS home Printed from https://ideas.repec.org/c/dge/qmrbcd/64.html
 

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

    Download full text from publisher

    File URL: https://dge.repec.org/codes/denhaan/varhac/gauss/
    File Function: program code
    Download Restriction: none
    ---><---

    Other versions of this item:

    More about this item

    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

    Statistics

    Access and download statistics

    Corrections

    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:64. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Christian Zimmermann (email available below). General contact details of provider: http://dge.repec.org/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.