nuisance: Estimate the nuisance parameters of the error term
In Stevo15025/PANICr: PANIC Tests of Nonstationarity
nuisance R Documentation
Estimate the nuisance parameters of the error term
Description
This function estimates the short-run, long-run, and one sided
variance of the error term
Usage
nuisance(res,k)
Arguments
res
A matrix consisting of the residuals from a factor model.
k
If fixk is 0, then automatic bandwidth selection is performed.
Otherwise, the integer placed here will be the selected bandwidth.
Value
A data frame containing the following columns
sig2 The vector of short run variances
omega2 The vector of long run variances
half The vector of one-sided variances
Stevo15025/PANICr documentation built on Sept. 7, 2024, 4:30 p.m.
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| nuisance | R Documentation |
Estimate the nuisance parameters of the error term
Description
This function estimates the short-run, long-run, and one sided variance of the error term
Usage
nuisance(res,k)
Arguments
res |
A matrix consisting of the residuals from a factor model. |
k |
If fixk is 0, then automatic bandwidth selection is performed. Otherwise, the integer placed here will be the selected bandwidth. |
Value
A data frame containing the following columns
sig2 The vector of short run variances
omega2 The vector of long run variances
half The vector of one-sided variances
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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