[prev in list] [next in list] [prev in thread] [next in thread]
List: r-sig-finance
Subject: Re: [R-SIG-Finance] VARHAC Covariance Matrix Estimator
From: Matthieu Stigler <matthieu.stigler () gmail ! com>
Date: 2010-11-17 8:40:43
Message-ID: 4CE3950B.1030607 () gmail ! com
[Download RAW message or body]
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
>
> [[alternative HTML version deleted]]
>
> _______________________________________________
> R-SIG-Finance@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.
>
_______________________________________________
R-SIG-Finance@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.
[prev in list] [next in list] [prev in thread] [next in thread]
Configure |
About |
News |
Add a list |
Sponsored by KoreLogic