COINT (version 0.0.2)

Parzen_uni: Parzen Kernel for Consistent Estimate of Long-run Variance

Description

Compute the Parzen kernel to obtain consistent estimate of long-run variance.

Usage

Parzen_uni(e,v)

Value

Return the consistent estimate of long-run variance, that PP and KPSS tests require. This procedure handles single time series only.

Arguments

e

A univariate time series for computing consistent long-run variance, normally, regression residuals.

v

Number of lag terms used to compute the long-run variance.

Author

Ho Tsung-wu <[e-mail]>, College of Management, National Taiwan Normal University.

References

Brillinger, David R. (1981) Time Series Data Analysis and Theory. San Francisco, CA: Holden-Day.

Examples

data(macro)
y=macro[,"INF"]
e=y-mean(y)
Parzen_uni(e,v=15)