Long-Run Variance Estimation in Time Series Regression

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Documentation for package ‘mlrv’ version 0.1.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

bregress2	Simulate data from time-varying time series regression model with change points
gcv_cov	Generalized Cross Validation
heter_covariate	Long memory tests for non-stationary time series regression
heter_gradient	Structural stability tests for non-stationary time series regression
Heter_LRV	Long-run covariance matrix estimators
hk_data	This is data to be included in my package
LocLinear	Local linear Regression
loc_constant	Nonparametric smoothing
lrv_measure	Comparing bias or mse of lrv estimators based on numerical methods
MV_critical	Statistics-adapted values for extended minimum volatility selection.
MV_critical_cp	Statistics-adapted values for extended minimum volatility selection.
MV_ise_heter_critical	MV method
Qct_reg	Simulate data from time-varying time series regression model
Qt_data	Simulate data from time-varying trend model
rule_of_thumb	rule of thumb interval for the selection of smoothing parameter b
sim_T	bootstrap distribution