# nse.cos: Long-run variance estimation using low-frequency cosine... In nse: Numerical Standard Errors Computation in R

## Description

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

## Usage

 `1` ```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

 ``` 1 2 3 4 5 6 7 8 9 10 11 12``` ```## 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 April 26, 2021, 1:06 a.m.