Parzen_uni: Parzen Kernel for Consistent Estimate of Long-run Variance

In COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators

Parzen Kernel for Consistent Estimate of Long-run Variance

Description

Compute the Parzen kernel to obtain consistent estimate of long-run variance.

Usage

Parzen_uni(e,v)

Arguments

e	A univariate time series for computing consistent long-run variance, normally, regression residuals.
v	Number of lag terms used to compute the long-run variance.

Value

Return the consistent estimate of long-run variance, that PP and KPSS tests require. This procedure handles single time series only.

Author(s)

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Brillinger, David R. (1981) Time Series Data Analysis and Theory. San Francisco, CA: Holden-Day.

Examples

data(macro)
y=macro[,"INF"]
e=y-mean(y)
Parzen_uni(e,v=15)

COINT documentation built on Sept. 9, 2025, 5:51 p.m.