Long-run Covariance Estimation

Long-run Covariance Estimators

Andrews(x[, bandwidth, df_adjust, center, ...])	Alternative name of the QuadraticSpectral covariance estimator.
Bartlett(x[, bandwidth, df_adjust, center, ...])	Bartlett's (Newey-West) kernel covariance estimation.
Gallant(x[, bandwidth, df_adjust, center, ...])	Alternative name for Parzen covariance estimator.
NeweyWest(x[, bandwidth, df_adjust, center, ...])	Alternative name for Bartlett covariance estimator.
Parzen(x[, bandwidth, df_adjust, center, ...])	Parzen's kernel covariance estimation.
ParzenCauchy(x[, bandwidth, df_adjust, ...])	Parzen's Cauchy kernel covariance estimation.
ParzenGeometric(x[, bandwidth, df_adjust, ...])	Parzen's Geometric kernel covariance estimation.
ParzenRiesz(x[, bandwidth, df_adjust, ...])	Parzen-Reisz kernel covariance estimation.
QuadraticSpectral(x[, bandwidth, df_adjust, ...])	Quadratic-Spectral (Andrews') kernel covariance estimation.
TukeyHamming(x[, bandwidth, df_adjust, ...])	Tukey-Hamming kernel covariance estimation.
TukeyHanning(x[, bandwidth, df_adjust, ...])	Tukey-Hanning kernel covariance estimation.
TukeyParzen(x[, bandwidth, df_adjust, ...])	Tukey-Parzen kernel covariance estimation.

Results

CovarianceEstimate(short_run, one_sided_strict)

Covariance estimate using a long-run covariance estimator