cointReg: getLongRunVar – R documentation

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getLongRunVar

Long-Run Variance

Description

This function computes the long-run variance Omega, the one sided long-run variance Delta (starting with lag 0) and the variance Sigma from an input matrix of residuals.

Usage

getLongRunVar(u, bandwidth = c("and", "nw"), kernel = c("ba", "bo", "da",
  "pa", "qs", "tr"), demeaning = FALSE, check = TRUE, ...)

Arguments

`u`	[`numeric` \| `matrix`] Data on which to apply the calculation of the long-run variance.
`bandwidth`	[`numeric(1)`] The bandwidth to use for calculating the long-run variance as a positive intergerish value.
`kernel`	[`character(1)`] The kernel function to use for selecting the bandwidth. Default is Bartlett kernel (`"ba"`), see Details for alternatives.
`demeaning`	[`logical`] Demeaning of the data before the calculation (default is `FALSE`).
`check`	[`logical`] Wheather to check (and if necessary convert) the arguments. See `checkVars` for further information.
`...`	Arguments passed to `getBandwidthNW`.

Details

The bandwidth can be one of the following:

"ba": Bartlett kernel
"bo": Bohmann kernel
"da": Daniell kernel
"pa": Parzen kernel
"qs": Quadratic Spectral kernel
"tr": Truncated kernel

Value

[list] with components:

Omega [matrix]: Long-run variance matrix
Delta [matrix]: One-sided long-run variance matrix
Sigma [matrix]: Variance matrix

Examples

set.seed(1909)
x <- rnorm(100)
band <- getBandwidthAnd(x, kernel = "ba")
getLongRunVar(x, kernel = "ba", bandwidth = band)
# shorter:
getLongRunVar(x, kernel = "ba", bandwidth = "and")

x2 <- arima.sim(model = list(ar = c(0.7, 0.2)), innov = x, n = 100)
x2 <- cbind(a = x2, b = x2 + rnorm(100))
getLongRunVar(x2, kernel = "ba", bandwidth = "nw")

cointReg

Parameter Estimation and Inference in a Cointegrating Regression

v0.2.0

GPL-3

Authors

Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)

Initial release

2016-06-14