lrcov_est: Long-run covariance estimator
In zhan-gao/LasForecast: Time series linear predictive regression
lrcov_est R Documentation
Long-run covariance estimator
Description
Use bartlett kernel to estimate long-run covariance where the bandwidth
determined Andrews (1991, Eq. (6.2) and (6.4)).
Part of the function adapted from the "bwAndrews" function in
"sandwich" package
Usage
lrcov_est(x, y = NULL, type = 0)
Arguments
y
= NULL if computing the long run variance of x only
type
= 0 (default) for long-run covariance or 1 for one-sided long-run variance
zhan-gao/LasForecast documentation built on Sept. 18, 2024, 9:40 p.m.
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| lrcov_est | R Documentation |
Long-run covariance estimator
Description
Use bartlett kernel to estimate long-run covariance where the bandwidth determined Andrews (1991, Eq. (6.2) and (6.4)). Part of the function adapted from the "bwAndrews" function in "sandwich" package
Usage
lrcov_est(x, y = NULL, type = 0)
Arguments
y |
= NULL if computing the long run variance of x only |
type |
= 0 (default) for long-run covariance or 1 for one-sided long-run variance |
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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