nw: Newey-West HAC covariance estimator.
In KevinKotze/tsm: Time Series Modelling
nw R Documentation
Newey-West HAC covariance estimator.
Description
Newey-West HAC covariance estimator.
Usage
nw(y, qn)
Arguments
y
A T*k vector of numeric values.
qn
A numberic scalar for the truncation lag.
Value
Newey-West HAC covariance estimator (as derived in Hayashi).
KevinKotze/tsm documentation built on July 29, 2024, 2:18 p.m.
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| nw | R Documentation |
Newey-West HAC covariance estimator.
Description
Newey-West HAC covariance estimator.
Usage
nw(y, qn)
Arguments
y |
A T*k vector of numeric values. |
qn |
A numberic scalar for the truncation lag. |
Value
Newey-West HAC covariance estimator (as derived in Hayashi).
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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