getLongRunVar {cointReg} R Documentation

## Long-Run Variance

### Description

This function computes the long-run variance Omega, the one sided long-run variance Delta (starting with lag 0) and the variance Sigma from an input matrix of residuals.

### Usage

```getLongRunVar(u, bandwidth = c("and", "nw"), kernel = c("ba", "bo", "da",
"pa", "qs", "tr"), demeaning = FALSE, check = TRUE, ...)
```

### Arguments

 `u` [`numeric` | `matrix`] Data on which to apply the calculation of the long-run variance. `bandwidth` [`numeric(1)`] The bandwidth to use for calculating the long-run variance as a positive intergerish value. `kernel` [`character(1)`] The kernel function to use for selecting the bandwidth. Default is Bartlett kernel (`"ba"`), see Details for alternatives. `demeaning` [`logical`] Demeaning of the data before the calculation (default is `FALSE`). `check` [`logical`] Wheather to check (and if necessary convert) the arguments. See `checkVars` for further information. `...` Arguments passed to `getBandwidthNW`.

### Details

The bandwidth can be one of the following:

• `"ba"`: Bartlett kernel

• `"bo"`: Bohmann kernel

• `"da"`: Daniell kernel

• `"pa"`: Parzen kernel

• `"qs"`: Quadratic Spectral kernel

• `"tr"`: Truncated kernel

### Value

[`list`] with components:

`Omega` [`matrix`]

Long-run variance matrix

`Delta` [`matrix`]

One-sided long-run variance matrix

`Sigma` [`matrix`]

Variance matrix

`getBandwidth`

### Examples

```set.seed(1909)
x <- rnorm(100)
band <- getBandwidthAnd(x, kernel = "ba")
getLongRunVar(x, kernel = "ba", bandwidth = band)
# shorter:
getLongRunVar(x, kernel = "ba", bandwidth = "and")

x2 <- arima.sim(model = list(ar = c(0.7, 0.2)), innov = x, n = 100)
x2 <- cbind(a = x2, b = x2 + rnorm(100))
getLongRunVar(x2, kernel = "ba", bandwidth = "nw")

```

[Package cointReg version 0.2.0 Index]