lrv.spc.bartlett {micss}

lrv.spc.bartlett

Description

Estimation of the long-run variance using the Barlett window.

Usage

lrv.spc.bartlett(x, kmax = NULL)

Arguments

x

Stationary variable. A numeric vector.

kmax

Maximum lag to be used for the long-run estimation of the variance.

Details

Estimates the log-run fourth order moment when x are the squares of a variable.

Value

Estimation of the long-run variance.

References

D. Sul, P.C.B. Phillips & C.Y. Choi (2005): Prewhitening Bias in HAC Estimation, Oxford Bulletin of Economics and Statistics 67, 517-546.

D.W.K. Andrews & J.C. Monahan (1992): An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator. Econometrica 60, 953-966.

Examples

lrv.spc.bartlett(rnorm(100))