andrews_lrv {EncompassTest} | R Documentation |
Long-run covariance estimation using Andrews quadratic spectral kernel.
Description
Given a vector of residuals, it generates the Heteroskedastic Long run variance.
Usage
andrews_lrv(e)
Arguments
e |
a vector of residual series, for which we recommend to use the recursive residuals from larger model. |
Value
a vector of Long run variance using Andrews quadratic spectral kernel HAC.
References
Andrews, D. W. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 817-858.
Examples
set.seed(2014)
x<- rnorm(15);
#Andrews kernel HAC
andrews_lrcov = andrews_lrv(x)
[Package EncompassTest version 0.22 Index]