nse.andrews {nse} | R Documentation |
Andrews estimator
Description
Function which calculates the numerical standard error with the kernel based variance estimator by Andrews (1991).
Usage
nse.andrews(
x,
type = c("bartlett", "parzen", "tukey", "qs", "trunc"),
lag.prewhite = 0,
approx = c("AR(1)", "ARMA(1,1)")
)
Arguments
x |
A numeric vector. |
type |
The type of kernel used among which |
lag.prewhite |
Prewhite the series before analysis (integer or |
approx |
Andrews approximation, either |
Details
This kernel based variance estimation apply weight to the auto-covariance function with a kernel and sums up the value.
Value
The NSE estimator.
Note
nse.andrews
is a wrapper around lrvar
from the sandwich
package and uses Andrews (1991) automatic bandwidth estimator. See the documentation of sandwich
for details.
Author(s)
David Ardia and Keven Bluteau
References
Andrews, D.W.K. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59(3), 817-858.
Andrews, D.W.K, Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica 60(4), 953-966.
Newey, W.K., West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelationconsistent covariance matrix. Econometrica 55(3), 703-708.
Newey, W.K., West, K.D. (1994) . Automatic lag selection in covariance matrix estimation. Review of Economic Studies 61(4), 631-653.
Examples
## Not run:
n = 1000
ar = 0.9
mean = 1
sd = 1
set.seed(1234)
x = c(arima.sim(n = n, list(ar = ar), sd = sd) + mean)
nse.andrews(x = x, type = "parzen", lag.prewhite = 0)
nse.andrews(x = x, type = "tukey", lag.prewhite = 1)
nse.andrews(x = x, type = "qs", lag.prewhite = NULL)
## End(Not run)