lrvarbart {starvars}

Long-run variance using Bartlett kernel

Description

Function returns the long-run variance of a time series, relying on the Bartlett kernel. The window size of the kernel is the cube root of the sample size.

Usage

lrvarbart(x)

Arguments

x

a (T x 1) vector containing the time series over period T

Value

lrv

long-run variance

return

bandwidth size of the window

Author(s)

Andrea Bucci

References

Hamilton J. D. (1994), Time Series Analysis. Princeton University Press; Tsay R.S. (2005), Analysis of Financial Time Series. John Wiley & SONS

Examples

data(Realized)
lrvarbart(Realized[,1])