nse.cos: Long-run variance estimation using low-frequency cosine...

In nse: Numerical Standard Errors Computation in R

Long-run variance estimation using low-frequency cosine series.

Description

Function which calculates the numerical standard error with low-frequency cosine weighted averages of the original serie.

Usage

nse.cos(x, q = 12, lag.prewhite = 0)

Arguments

x	A numeric vector.
q	Number of consine series.
lag.prewhite	Prewhite the series before analysis (integer or NULL). When lag.prewhite = NULL this performs automatic lag selection. Default is lag.prewhite = 0 that is no prewhitening.

Details

The method estimate the series with a linear regression using cosine low frequency series. It than derived the NSE from the coefficient of the cosine series (Ulrich and Watson, 2017).

Value

The NSE estimator.

Author(s)

David Ardia and Keven Bluteau

References

Muller, Ulrich K., and Mark W. Watson. (2015) Low-frequency econometrics. National Bureau of Economic Research, No. w21564.

Examples

## Not run: 
n    = 1000
ar   = 0.9
mean = 1
sd   = 1
set.seed(1234)
x = c(arima.sim(n = n, list(ar = ar), sd = sd) + mean)

nse.cos(x = x, q = 12, lag.prewhite = 0)
nse.cos(x = x, q = 12, lag.prewhite = NULL)

## End(Not run)

nse documentation built on Nov. 10, 2022, 5:52 p.m.