estimate_onesided_lrv: Estimate One-Sided Long-Run Covariance
In rbfmvar: Residual-Based Fully Modified Vector Autoregression
estimate_onesided_lrv R Documentation
Estimate One-Sided Long-Run Covariance
Description
Estimates the one-sided long-run covariance matrix.
Usage
estimate_onesided_lrv(e, v, kernel = "bartlett", bandwidth)
Arguments
e
Matrix of residuals e (T x n1).
v
Matrix of residuals v (T x n2).
kernel
Character string specifying the kernel type.
bandwidth
Bandwidth parameter.
Value
One-sided long-run covariance matrix (n1 x n2).
rbfmvar documentation built on April 9, 2026, 9:08 a.m.
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| estimate_onesided_lrv | R Documentation |
Estimate One-Sided Long-Run Covariance
Description
Estimates the one-sided long-run covariance matrix.
Usage
estimate_onesided_lrv(e, v, kernel = "bartlett", bandwidth)
Arguments
e |
Matrix of residuals e (T x n1). |
v |
Matrix of residuals v (T x n2). |
kernel |
Character string specifying the kernel type. |
bandwidth |
Bandwidth parameter. |
Value
One-sided long-run covariance matrix (n1 x n2).
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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