lpirfs: get_std_err – R documentation

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get_std_err

Compute standard errors by standard OLS or Newey and West

Compute standard errors by standard OLS or Newey and West (1987).

get_std_err(yy, xx, lag_nw, k, specs)

`yy`	A matrix with all endogenous variables.
`xx`	A matrix with lagged endogenous variables.
`lag_nw`	Integer. Number of lags for Newey and West
`k`	Integer. Value of column to choose from
`specs`	A list with specifications from lp_lin or lp_nl.

List. First element contains the estimated standard errors, the second element contains the OLS point estimates.

Philipp Adämmer

Local Projections Impulse Response Functions

v0.2.0

GPL (>= 2)

Authors

Philipp Adämmer [aut, cre] (<https://orcid.org/0000-0003-3770-0097>), James P. LeSage [ctb], Mehmet Balcilar [ctb], Jon Danielsson [ctb]

Initial release