correct: Heteroskedasticy and autocorrelation consistency correction
In RoDivinity/BP2003: Structural break estimation and testing procedure
correct R Documentation
Heteroskedasticy and autocorrelation consistency correction
Description
function corrects the standard errors based on options of prewhitening
using a AR(1) process estimation of error terms to obtain HAC errors/
Usage
correct(reg, res, prewhit)
Arguments
reg
matrix of regressors
res
residuals
prewhit
Option of using prewhitening process. If 1, an AR(1)
process will be used to filter. If 0, skipped the filtering process
Value
hac Heteroskedasticy and autocorrelation consistent errors
RoDivinity/BP2003 documentation built on Oct. 9, 2022, 9:33 a.m.
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| correct | R Documentation |
Heteroskedasticy and autocorrelation consistency correction
Description
function corrects the standard errors based on options of prewhitening using a AR(1) process estimation of error terms to obtain HAC errors/
Usage
correct(reg, res, prewhit)
Arguments
reg |
matrix of regressors |
res |
residuals |
prewhit |
Option of using prewhitening process. If |
Value
hac Heteroskedasticy and autocorrelation consistent errors
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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