[R-SIG-Finance] VARHAC Covariance Matrix Estimator

[Matthieu Stigler]

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 écrit :
> 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
>
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