vcovA: Asymptotic Covariance Estimation

Description Usage Arguments

View source: R/esreg.R

Description

Estimate the variance-covariance matrix of the joint (VaR, ES) estimator by the sandwich formula:

λ^{-1} Σ λ^{-1}

Several estimators are available for both matrices and the default options are selected to take into account possible misspecifications in the underlying data.

Usage

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vcovA(
  object,
  sigma_est = "scl_sp",
  sparsity = "nid",
  misspec = TRUE,
  bandwidth_estimator = "Hall-Sheather"
)

Arguments

object

An esreg object

sigma_est

The estimator to be used for Σ, see conditional_truncated_variance

  • ind - Variance over all negative residuals

  • scl_N - Scaling with the normal distribution

  • scl_sp - Scaling with the kernel density function

sparsity

The estimator to be used for the sparsity in Λ, see density_quantile_function

  • iid - Piecewise linear interpolation of the distribution

  • nid - Hendricks and Koenker sandwich

misspec

if TRUE, the estimator accounts for potential misspecification in the model

bandwidth_estimator

The bandwidth estimator to be used for the iid and nid sparsity estimator, see density_quantile_function

  • Bofinger

  • Chamberlain

  • Hall-Sheather


esreg documentation built on Nov. 16, 2019, 1:07 a.m.