qs: Quadratic-Spectral Kernel for Consistent Estimate of Long-run...
In COINT: Unit Root Tests with Structural Breaks and Fully-Modified Estimators
qs R Documentation
Quadratic-Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Computes the Andrews (1991) Quadratic-Spectral window to obtain consistent estimate of long-run variance of multivariate time series.
Usage
qs(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 <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Andrews, D. W. K. (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59, 817-858.
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))
qs(e,v=15)
COINT documentation built on Sept. 9, 2025, 5:51 p.m.
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| qs | R Documentation |
Quadratic-Spectral Kernel for Consistent Estimate of Long-run Variance
Description
Computes the Andrews (1991) Quadratic-Spectral window to obtain consistent estimate of long-run variance of multivariate time series.
Usage
qs(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 <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
References
Andrews, D. W. K. (1991) Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59, 817-858.
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))
qs(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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