HARModel (version 1.0)

HARModel-class: HARModel

Description

Class for HARModel objects

Objects from the Class

A virtual Class: No objects may be created from it.

Slots

model:

Object of class lm. Contains the linear model fitted.

info:

Object of class list cointaining:

periods: numeric containing the lags used to create the model. If the type isn't "HAR", then the related periods-(RQ) and/or (J) will also be included. dates: Date object containing the dates for which the estimation was done, only applicable if the Model was estimated using an "xts" object.

Methods

show:

signature(object = "HARModel") Shows summary

plot:

signature(x = "HARModel", y = "missing"): Plots the observed values with fitted values overlayed

uncmean:

signature(object = "HARModel"): Extracts the unconditional mean from the Model, only available when type = "HAR"

coef:

signature(object = "HARModel"): Extracts the coefficients from the Model

sandwichNeweyWest:

signature(object = "HARModel"): Utilize the sandwich package to create newey west standard errors

qlike:

signature(object = "HARModel"): Calculate the in sample 'qlike' loss function for a HARModel object

logLik:

A wrapper for the "lm" subclass of the HARModel object

confint:

A wrapper for the "lm" subclass of the HARModel object

residuals:

A wrapper for the "lm" subclass of the HARModel object

summary:

A wrapper for the "lm" subclass of the HARModel object