correct: Heteroskedasticy and autocorrelation consistency correction...
In mbreaks: Estimation and Inference for Structural Breaks in Linear Regression Models
correct R Documentation
Heteroskedasticy and autocorrelation consistency correction for residuals
Description
'hac()' corrects the estimated errors based on options of prewhitening
using a AR(1) process estimation of error terms to obtain
heteroskedasticy and autocorrelation consistency (HAC) errors with automatic
bandwith and kernel similar to Andrews, 1994
Usage
correct(reg, res, prewhit)
Arguments
reg
matrix of regressors
res
matrix of estimated residuals
prewhit
Option of using prewhitening process. If 1, an AR(1)
process will be used to filter. If 0, skipped the filtering process
Value
hac Heteroskedasticy and autocorrelation consistent errors
mbreaks documentation built on April 3, 2025, 7:38 p.m.
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| correct | R Documentation |
Heteroskedasticy and autocorrelation consistency correction for residuals
Description
'hac()' corrects the estimated errors based on options of prewhitening using a AR(1) process estimation of error terms to obtain heteroskedasticy and autocorrelation consistency (HAC) errors with automatic bandwith and kernel similar to Andrews, 1994
Usage
correct(reg, res, prewhit)
Arguments
reg |
matrix of regressors |
res |
matrix of estimated residuals |
prewhit |
Option of using prewhitening process. If |
Value
hac Heteroskedasticy and autocorrelation consistent errors
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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