var_one {lpirfs} | R Documentation |
Compute VAR to prewhite estimating functions for Newey West estimator.
Description
Compute Newey-West estimator with prewhitened estimation functions.
Usage
var_one(VAR_Data)
Arguments
VAR_Data |
Matrix. |
Value
A list. The first element contains the slope parameters of the VAR(1), the sedond element contains the residuals and the third element the inverted slope parameter matrix.
References
Andrews, D.W. and Monahan, J.C. (1992). An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator. Econometrica, pp.953-966.
Newey, W.K., and West, K.D. (1987). “A Simple, Positive-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix.” Econometrica, 55, 703–708.
[Package lpirfs version 0.2.3 Index]