Long-run Covariance Estimation

Long-run Covariance Estimators

Andrews(x[, bandwidth, df_adjust, center, ...])

Alternative name for QuadraticSpectral covariance estimator.

Bartlett(x[, bandwidth, df_adjust, center, ...])

Covariance estimation using Bartlett's (Newey-West) kernel.

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, ...])

Covariance estimation using Parzen's kernel.

ParzenCauchy(x[, bandwidth, df_adjust, ...])

Covariance estimation using Parzen's Cauchy kernel.

ParzenGeometric(x[, bandwidth, df_adjust, ...])

Covariance estimation using Parzen's Geometric kernel.

ParzenRiesz(x[, bandwidth, df_adjust, ...])

Covariance estimation using the Parzen-Reisz kernel.

QuadraticSpectral(x[, bandwidth, df_adjust, ...])

Covariance estimation using the Quadratic-Spectral (Andrews') kernel.

TukeyHamming(x[, bandwidth, df_adjust, ...])

Covariance estimation using the Tukey-Hamming kernel.

TukeyHanning(x[, bandwidth, df_adjust, ...])

Covariance estimation using the Tukey-Hanning kernel.

TukeyParzen(x[, bandwidth, df_adjust, ...])

Covariance estimation using the Tukey-Parzen kernel.

Results

CovarianceEstimate(short_run, one_sided_strict)

Covariance estimate using a long-run covariance estimator