View source: R/03GVARest.R View source: R/07GVECMest.R
getNWCOEFexo | R Documentation |
Extract all-country coefficient estimates with Newy-West robust covariance.
getNWCOEFexo(out)
out |
A list object of estimation results generated by GVARest. |
coef |
Country-specific coefficient estimates. |
Ho Tsung-wu <tsungwu@ntnu.edu.tw>, College of Management, National Taiwan Normal University.
Newey WK and West KD (1994) Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61, 631-653.
data("PriceVol") data("tradeweight1") data("tradeweightx") p=2 FLag=2 lag.max=15 type="const" ic="SC" weight.matrix=tradeweightx mainOUTPUT = GVARest(data=PriceVol,p,lag.max,type,ic,weight.matrix) COEF=getNWCOEFexo(out=mainOUTPUT)
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