Kurozumi_QS: Quadratic Spectral Kernel for Consistent Estimate of Long-run...
In COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators
Kurozumi_QS R Documentation
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Compute the Quadratic Spectral kernel proposed by Kurozumi (2002) to obtains consistent estimate of long-run variance.
Usage
Kurozumi_QS(e)
Arguments
e
data that needs to compute consistent long-run variance, normally, regression residuals.
Value
Return the consistent estimate of long-run variance, Quadratic Spectral kernel proposed by Kurozumi (2002).
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Kurozumi, E. (2002) Testing for stationarity with a break. Journal of Econometrics,108(1), 105-127.
Examples
data(macro)
y=macro[,"INF"]
e=y-mean(y)
Kurozumi_QS(e)
COINT documentation built on Nov. 5, 2025, 6:30 p.m.
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| Kurozumi_QS | R Documentation |
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Compute the Quadratic Spectral kernel proposed by Kurozumi (2002) to obtains consistent estimate of long-run variance.
Usage
Kurozumi_QS(e)
Arguments
e |
data that needs to compute consistent long-run variance, normally, regression residuals. |
Value
Return the consistent estimate of long-run variance, Quadratic Spectral kernel proposed by Kurozumi (2002).
Author(s)
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Kurozumi, E. (2002) Testing for stationarity with a break. Journal of Econometrics,108(1), 105-127.
Examples
data(macro)
y=macro[,"INF"]
e=y-mean(y)
Kurozumi_QS(e)
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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