var_one: Compute VAR to prewhite estimating functions for Newey West...

Description Usage Arguments Value References

View source: R/RcppExports.R

Description

Compute Newey-West estimator with prewhitened estimation functions.

Usage

1
var_one(VAR_Data)

Arguments

VAR_Data

Matrix.

Value

A list. The first element contains the slope parameters of the VAR(1), the sedond element contains the residuals and the third element the inverted slope parameter matrix.

References

Andrews, D.W. and Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, pp.953-966.

Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.


lpirfs documentation built on March 24, 2021, 1:10 a.m.