Long-Run Variance Estimation in Time Series Regression [R package mlrv version 0.1.2]

Lujia Bai

mlrv: Long-Run Variance Estimation in Time Series Regression

Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression. Lujia Bai and Weichi Wu (2024)<doi:10.3150/23-BEJ1680> Zhou Zhou and Wei Biao Wu(2010)<doi:10.1111/j.1467-9868.2010.00743.x> Jianqing Fan and Wenyang Zhang<doi:10.1214/aos/1017939139> Lujia Bai and Weichi Wu(2024)<doi:10.1093/biomet/asae013> Dimitris N. Politis, Joseph P. Romano, Michael Wolf(1999)<doi:10.1007/978-1-4612-1554-7> Weichi Wu and Zhou Zhou(2018)<doi:10.1214/17-AOS1582>.

Version: 0.1.2

Depends: R (≥ 3.6.0)

Imports: Rcpp, numDeriv, magrittr, foreach, doParallel, RcppArmadillo, mathjaxr, xtable, stats

LinkingTo: Rcpp, RcppArmadillo

Suggests: knitr, rmarkdown, spelling, testthat (≥ 3.0.0)

Published: 2024年07月30日

DOI: 10.32614/CRAN.package.mlrv

Author: Lujia Bai [aut, cre], Weichi Wu [ctb]

Maintainer: Lujia Bai <bailujia98 at gmail.com>

License: MIT + file LICENSE

NeedsCompilation: yes

Language: en-US

Materials: NEWS

CRAN checks: mlrv results

Documentation:

Reference manual: mlrv.html , mlrv.pdf

Vignettes: Using mlrv to anaylze data (source, R code)

Downloads:

Package source: mlrv_0.1.2.tar.gz

Windows binaries: r-devel: mlrv_0.1.2.zip, r-release: mlrv_0.1.2.zip, r-oldrel: mlrv_0.1.2.zip

macOS binaries: r-release (arm64): mlrv_0.1.2.tgz, r-oldrel (arm64): mlrv_0.1.2.tgz, r-release (x86_64): mlrv_0.1.2.tgz, r-oldrel (x86_64): mlrv_0.1.2.tgz

Old sources: mlrv archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=mlrv to link to this page.