cauchy: Cauchy Kernel for Consistent Estimate of Long-run Variance

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

Cauchy Kernel for Consistent Estimate of Long-run Variance

Description

Compute the Cauchy window to obtain consistent estimate of long-run variance of multivariate time series.

Usage

cauchy(data,v)

Arguments

data	Data matrix for computing consistent long-run variance, normally, multivariate regression residuals.
v	Number of autocovariance terms in the kernel.

Value

Return the consistent estimate of long-run variance. This procedure handles both multivariate and single time series, which is basically designed for "fmvar","fmgmm" and "fmols".

Author(s)

Ho Tsung-wu

References

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

Examples

data(macro)
e=apply(macro, 2, function(x) x-mean(x))
cauchy(e,v=15)

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