VARHAC Covariance Matrix Estimator
Dear Jose I am not sure this specific HC has been implemented. On the other side, there is a really nice package "sandwich" that offers a high flexibility for those HC/HAC covariance estimators, and which is very well documented, so it should not be too much an effort to implement it with the package: http://www.jstatsoft.org/v11/i10 http://stat.ethz.ch/CRAN/web/packages/sandwich/index.html Best Matthieu Le 17. 11. 10 00:00, Jose Iparraguirre D'Elia a ?crit :
Does anyone know if the VARHAC covariance matrix estimator by Den Haan and Levin (1994) has been implemented in R? I could only find routines for RATS and GAUSS in Den Haan's website. Regards, Jose Jose Iparraguirre [[alternative HTML version deleted]]
_______________________________________________ R-SIG-Finance at stat.math.ethz.ch mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.