ps_andrews_hac: Long run variance of errors
In ConvergenceClubs: Finding Convergence Clubs
View source: R/ps_andrews_hac.R
ps_andrews_hac R Documentation
Long run variance of errors
Description
Estimate long run variance of errors through Andrews' method
Usage
ps_andrews_hac(x)
Arguments
x
vector of residuals
Details
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.
Value
a numeric value representing the long run variance of errors
References
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.
ConvergenceClubs documentation built on June 14, 2022, 1:06 a.m.
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View source: R/ps_andrews_hac.R
| ps_andrews_hac | R Documentation |
Long run variance of errors
Description
Estimate long run variance of errors through Andrews' method
Usage
ps_andrews_hac(x)
Arguments
x |
vector of residuals |
Details
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.
Value
a numeric value representing the long run variance of errors
References
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.
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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