COINT (version 0.0.2)

SPC_QS: Quadratic Spectral Kernel for Consistent Estimate of Long-run Variance

Description

Compute the Quadratic Spectral kernel of Sul, Phillips and Choi (2003) to obtains consistent estimate of long-run variance.

Usage

SPC_QS(e,v)

Value

Return the consistent estimate of long-run variance.

Arguments

e

data that needs to compute consistent long-run variance, normally, regression residuals.

v

Number of lag terms to use when computing the long-run variance.

Author

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

References

Carrion-i-Silvestre, J. L. and Sanso, A. (2006) A guide to the computation of stationarity tests.Empirical Economics, 31(2), 433-448.
Carrion-i-Silvestre, J. L. and Sanso, A. (2007) The KPSS test with two structural breaks. Spanish Economic Review, 9(2), 105-127.
Sul, D., Phillips, P.C.B., and Choi, C.Y.(2005) Prewhitening Bias in HAC Estimation. Oxford Bulletin of Economics and Statistics, 67(4), 517-546.

Examples

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