EncompassTest (version 0.22)

andrews_lrv: Long-run covariance estimation using Andrews quadratic spectral kernel.

Description

Given a vector of residuals, it generates the Heteroskedastic Long run variance.

Usage

andrews_lrv(e)

Value

a vector of Long run variance using Andrews quadratic spectral kernel HAC.

Arguments

e

a vector of residual series, for which we recommend to use the recursive residuals from larger model.

References

Andrews, D. W. (1991). Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, 817-858.

Examples

set.seed(2014)
x<- rnorm(15);
#Andrews kernel HAC
andrews_lrcov = andrews_lrv(x)