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 <bailujia98@gmail.com>
LicenseMIT + file LICENSE
Version0.1.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("mlrv")

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