View source: R/ps_andrews_hac.R

ps_andrews_hac | R Documentation |

Estimate long run variance of errors through Andrews' method

ps_andrews_hac(x)

`x` |
vector of residuals |

This function computes the long run variance of residuals of an lm model
by means of Andrews' with Quadratic Spectral kernel and fixed bandwidth.
The code is an adaptation of Phillips and Sul (2007)'s code,
which was written in *GAUSS*.

a numeric value representing the long run variance of errors

Andrews, D. W., 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 817-858.

Phillips, P. C.; Sul, D., 2007. Transition modeling and econometric convergence tests. Econometrica 75 (6), 1771-1855.

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