nse.andrews: Andrews NSE estimators.

In braverock/nse: Numerical Standard Errors Computation in R

Description

Calculate the variance of the mean with the kernel based variance estimator indtroduced by Andrews (1991).

Usage

nse.andrews(x, type = c("bartlett", "parzen", "tukey", "qs", "trunc"),
  lag.prewhite = 0, approx = c("AR(1)", "ARMA(1,1)"))

Arguments

x	A numeric vector or matrix.
type	The type of kernel used c("bartlett","parzen","qs","trunc","tukey").
lag.prewhite	Prewhite the serie before analysis (integer or NULL, i.e. automatic selection)
approx	Andrews approximation c("AR(1)", "ARMA(1,1)")

Details

This is a wrapper around lrvar from the sandwich package and use Andrews (1991) automatic bandwidth estimator.

Value

The variance estimator in the univariate case or the variance-covariance matrix estimator in the multivariate case.

References

Zeileis, Achim. "Econometric computing with HC and HAC covariance matrix estimators." (2004).

Andrews, Donald WK. "Heteroskedasticity and autocorrelation consistent covariance matrix estimation." Econometrica: Journal of the Econometric Society 59.03 (1991): 817-858.

Newey, Whitney K., and Kenneth D. West. "A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix.", Econometrica: Journal of the Econometric Society 55.03 (1987) : 703-708.

Examples

n    = 1000
ar   = 0.9
mean = 1
sd   = 1
 
set.seed(1234)   
x = as.vector(arima.sim(n = n, list(ar = ar), sd = sd) + mean)
 
nse.andrews(x = x, type = "bartlett", lag.prewhite = 0)
nse.andrews(x = x, type = "bartlett", lag.prewhite = 1)
nse.andrews(x = x, type = "bartlett", lag.prewhite = NULL)

nse.andrews(x = x, type = "parzen", lag.prewhite = 0)
nse.andrews(x = x, type = "parzen", lag.prewhite = 1)
nse.andrews(x = x, type = "parzen", lag.prewhite = NULL)

nse.andrews(x = x, type = "tukey", lag.prewhite = 0)
nse.andrews(x = x, type = "tukey", lag.prewhite = 1)
nse.andrews(x = x, type = "tukey", lag.prewhite = NULL)

nse.andrews(x = x, type = "qs", lag.prewhite = 0)
nse.andrews(x = x, type = "qs", lag.prewhite = 1)
nse.andrews(x = x, type = "qs", lag.prewhite = NULL)

nse.andrews(x = x, type = "trunc", lag.prewhite = 0)
nse.andrews(x = x, type = "trunc", lag.prewhite = 1)
nse.andrews(x = x, type = "trunc", lag.prewhite = NULL)

braverock/nse documentation built on May 13, 2019, 5:03 a.m.