QS_uni: Quadratic Spectral Kernel for Consistent Estimate of Long-run...
In COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators
QS_uni R Documentation
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Compute the QS kernel to obtain consistent estimate of long-run variance.
Usage
QS_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 <tsungwu@ntnu.edu.tw>, 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)
QS_uni(e,v=15)
COINT documentation built on Nov. 5, 2025, 6:30 p.m.
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| QS_uni | R Documentation |
Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Compute the QS kernel to obtain consistent estimate of long-run variance.
Usage
QS_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 <tsungwu@ntnu.edu.tw>, 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)
QS_uni(e,v=15)
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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