inst/book-ex/Rcode-3-4.R
In cheaton/vars2: VAR Modelling
library(fracdiff)
set.seed(123456)
y <- fracdiff.sim(n=1000, ar=0.0, ma=0.0, d=0.3)
y.spec <- spectrum(y$series, plot=FALSE)
lhs <- log(y.spec$spec)
rhs <- log(4*(sin(y.spec$freq/2))^2)
gph.reg <- lm(lhs ~ rhs)
gph.sum <- summary(gph.reg)
sqrt(gph.sum$cov.unscaled*pi/6)[2,2]
cheaton/vars2 documentation built on May 29, 2019, 3:04 a.m.
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library(fracdiff)
set.seed(123456)
y <- fracdiff.sim(n=1000, ar=0.0, ma=0.0, d=0.3)
y.spec <- spectrum(y$series, plot=FALSE)
lhs <- log(y.spec$spec)
rhs <- log(4*(sin(y.spec$freq/2))^2)
gph.reg <- lm(lhs ~ rhs)
gph.sum <- summary(gph.reg)
sqrt(gph.sum$cov.unscaled*pi/6)[2,2]
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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