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lpirfs (version 0.2.4)

var_one: Compute VAR to prewhite estimating functions for Newey West estimator.

Description

Compute Newey-West estimator with prewhitened estimation functions.

Usage

var_one(VAR_Data)

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.

Arguments

VAR_Data

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.