larchEstfun {gets} | R Documentation |
Two-step estimation of a log-variance model: OLS in step 1, bias correction w/residuals in step 2 (see the code for details). The function larchEstfun()
is not intended for the average user, but is called by larch
and gets.larch
.
larchEstfun(loge2, x, e, vcov.type = c("robust", "hac"), tol = 1e-07)
loge2 |
numeric vector, the log of the squared errors 'e' (adjusted for zeros on e, if any) |
x |
numeric matrix, the regressors |
e |
numeric vector, the errors |
vcov.type |
|
tol |
numeric value. The tolerance for detecting linear dependencies in the columns of the regressors in the first step estimation by OLS, see |
No details for the moment.
A list
.
Genaro Sucarrat, http://www.sucarrat.net/
No references for the moment.
##no examples for the moment