mlrv: Long-Run Variance Estimation in Time Series Regression

Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression.

Package details

AuthorLujia Bai [aut, cre], Weichi Wu [ctb]
MaintainerLujia Bai <>
LicenseMIT + file LICENSE
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the mlrv package in your browser

Any scripts or data that you put into this service are public.

mlrv documentation built on May 29, 2024, 8:03 a.m.