variance_eta

Computes variance of AR(p) innovation terms eta.

internal

Performs a multiscale analysis of a nonparametric
regression or nonparametric regressions with time series errors. In case
of one regression, with the help of this package it is possible to detect
the regions where the trend function is increasing or decreasing.
In case of multiple regressions, the test identifies regions where
the trend functions are different from each other. See
Khismatullina and Vogt (2020) <doi:10.1111/rssb.12347>,
Khismatullina and Vogt (2022) <doi:10.48550/arXiv.2209.10841> and
Khismatullina and Vogt (2023) <doi:10.1016/j.jeconom.2021.04.010>
for more details on theory and applications.

Marina Khismatullina

MSinference

Multiscale Inference for Nonparametric Time Trend(s)

Michael Vogt

variance_eta function

<dl><dt>data</dt>
<dd>Time series.</dd>
<dt>coefs</dt>
<dd>Estimated coefficients.</dd>
<dt>p</dt>
<dd>AR order of the time series.</dd></dl>

Arguments

Computes variance of AR(p) innovation terms eta. — variance_eta

<dl>

<dt>data</dt>
<dd>Time series.</dd>


<dt>coefs</dt>
<dd>Estimated coefficients.</dd>


<dt>p</dt>
<dd>AR order of the time series.</dd>

</dl>

variance_eta: Computes variance of AR(p) innovation terms eta.

Description

Usage

Value

Arguments