getLongRunVar

[<code>numeric</code> | <code>matrix</code>]
Data on which to apply the calculation of the long-run variance.

[<code>numeric(1)</code>]
The bandwidth to use for calculating the long-run variance
as a positive intergerish value.

bandwidth

[<code>character(1)</code>]
The kernel function to use for selecting the bandwidth.
Default is Bartlett kernel (<code>"ba"</code>), see Details for alternatives.

kernel

[<code>logical</code>]
Demeaning of the data before the calculation (default is <code>FALSE</code>).

demeaning

[<code>logical</code>]
Wheather to check (and if necessary convert) the arguments.
See <code><a rd-options="" href="/link/checkVars?package=cointReg&version=0.2.0" data-mini-rdoc="cointReg::checkVars">checkVars</a></code> for further information.

check

Arguments passed to <code>getBandwidthNW</code>.


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.


Cointegration methods are widely used in empirical macroeconomics
and empirical finance. It is well known that in a cointegrating
regression the ordinary least squares (OLS) estimator of the
parameters is super-consistent, i.e. converges at rate equal to the
sample size T. When the regressors are endogenous, the limiting
distribution of the OLS estimator is contaminated by so-called second
order bias terms, see e.g. Phillips and Hansen (1990) <DOI:10.2307/2297545>.
The presence of these bias terms renders inference difficult. Consequently,
several modifications to OLS that lead to zero mean Gaussian mixture
limiting distributions have been proposed, which in turn make
standard asymptotic inference feasible. These methods include
the fully modified OLS (FM-OLS) approach of Phillips and Hansen
(1990) <DOI:10.2307/2297545>, the dynamic OLS (D-OLS) approach of Phillips
and Loretan (1991) <DOI:10.2307/2298004>, Saikkonen (1991)
<DOI:10.1017/S0266466600004217> and Stock and Watson (1993)
<DOI:10.2307/2951763> and the new estimation approach called integrated
modified OLS (IM-OLS) of Vogelsang and Wagner (2014)
<DOI:10.1016/j.jeconom.2013.10.015>. The latter is based on an augmented
partial sum (integration) transformation of the regression model. IM-OLS is
similar in spirit to the FM- and D-OLS approaches, with the key difference
that it does not require estimation of long run variance matrices and avoids
the need to choose tuning parameters (kernels, bandwidths, lags). However,
inference does require that a long run variance be scaled out.
This package provides functions for the parameter estimation and inference
with all three modified OLS approaches. That includes the automatic
bandwidth selection approaches of Andrews (1991) <DOI:10.2307/2938229> and
of Newey and West (1994) <DOI:10.2307/2297912> as well as the calculation of
the long run variance.

Philipp Aschersleben

cointReg

Parameter Estimation and Inference in a Cointegrating Regression

getLongRunVar function

[<code>logical</code>]
Wheather to check (and if necessary convert) the arguments.
See <code><a rd-options='' href='checkVars'>checkVars</a></code> for further information.

getLongRunVar: Long-Run Variance

Description

Usage

Arguments

Value

Details

See Also

Examples