VARHAC, A HETEROSKEDASTICITY AND AUTOCORRELATION CONSISTENT COVARIANCE MATRIX ESTIMATOR



These programs calculate the VARHAC covariance matrix estimator proposed in Den Haan and Levin (1994) . The FORTRAN, the GAUSS, and the RATS procedure calculate 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.


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Fortran Subroutines (May 17, 1996)

* varhac.f, fortran VARHAC subroutine


Gauss Procedures (May 17, 1996)

* 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


Rats Procedures (May 17, 1996)

* 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)


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