estimate_lrv: Estimate Long-Run Variance Matrix

In rbfmvar: Residual-Based Fully Modified Vector Autoregression

Estimate Long-Run Variance Matrix

Description

Estimates the long-run variance matrix of a multivariate time series using kernel-weighted autocovariances.

Usage

estimate_lrv(v, kernel = "bartlett", bandwidth = -1, prewhiten = FALSE)

Arguments

v	Matrix of residuals (T x n).
kernel	Character string specifying the kernel type: "bartlett", "parzen", or "qs".
bandwidth	Bandwidth parameter. If -1 (default), automatic bandwidth selection via Andrews (1991) is used.
prewhiten	Logical. Whether to prewhiten the series before LRV estimation. Default is FALSE.

Value

A list containing:

Omega

Estimated long-run variance matrix (n x n).

bandwidth

Bandwidth used in estimation.

kernel

Kernel used.

References

Andrews, D. W. K. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59(3), 817-858. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2938229")}

rbfmvar documentation built on April 9, 2026, 9:08 a.m.