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