CovAhat_Sigmahat_Gamma: CovAhat_Sigmahat_Gamma
In martinbaumgaertner/varexternal: Vector autoregression with external instruments
View source: R/CovAhat_Sigmahat_Gamma.R
CovAhat_Sigmahat_Gamma R Documentation
CovAhat_Sigmahat_Gamma
Description
Estimates the asymptotic covariance matrix
Usage
CovAhat_Sigmahat_Gamma(p, X, Z, eta, lags)
Arguments
p
Number of lags in the VAR model
X
VAR "right-hand" variables
Z
external instrument
eta
eta
lags
Newey-West lags
Value
WHataux asymptotic variance of
WHat asymptotic variance of
V Matrix such that
martinbaumgaertner/varexternal documentation built on April 27, 2022, 1:31 a.m.
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View source: R/CovAhat_Sigmahat_Gamma.R
| CovAhat_Sigmahat_Gamma | R Documentation |
CovAhat_Sigmahat_Gamma
Description
Estimates the asymptotic covariance matrix
Usage
CovAhat_Sigmahat_Gamma(p, X, Z, eta, lags)
Arguments
p |
Number of lags in the VAR model |
X |
VAR "right-hand" variables |
Z |
external instrument |
eta |
eta |
lags |
Newey-West lags |
Value
WHataux asymptotic variance of
WHat asymptotic variance of
V Matrix such that
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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