Description Usage Arguments Value
This function estimates the short-run, long-run, and one sided variance of the error term
1 | nuisance(res,k)
|
res |
A matrix consisting of the residuals from a factor model. |
k |
If fixk is 0, then automatic bandwidth selection is performed. Otherwise, the integer placed here will be the selected bandwidth. |
A data frame containing the following columns
sig2 The vector of short run variances
omega2 The vector of long run variances
half The vector of one-sided variances
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