lrv: Long-Run Variance Estimation
In rbfmvar: Residual-Based Fully Modified Vector Autoregression
lrv R Documentation
Long-Run Variance Estimation
Description
Functions for estimating long-run variance (LRV) matrices using
kernel-based methods with automatic bandwidth selection.
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")}
Newey, W. K., & West, K. D. (1994). Automatic Lag Selection in Covariance
Matrix Estimation. Review of Economic Studies, 61(4), 631-653.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2297912")}
rbfmvar documentation built on April 9, 2026, 9:08 a.m.
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| lrv | R Documentation |
Long-Run Variance Estimation
Description
Functions for estimating long-run variance (LRV) matrices using kernel-based methods with automatic bandwidth selection.
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")}
Newey, W. K., & West, K. D. (1994). Automatic Lag Selection in Covariance Matrix Estimation. Review of Economic Studies, 61(4), 631-653. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2297912")}
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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