var_one: Compute VAR to prewhite estimating functions for Newey West...
In lpirfs: Local Projections Impulse Response Functions
var_one R Documentation
Compute VAR to prewhite estimating functions for Newey West estimator.
Description
Compute Newey-West estimator with prewhitened estimation functions.
Usage
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 July 9, 2023, 6:35 p.m.
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| var_one | R Documentation |
Compute VAR to prewhite estimating functions for Newey West estimator.
Description
Compute Newey-West estimator with prewhitened estimation functions.
Usage
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.
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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