mlrv

Long-Run Variance Estimation in Time Series Regression

Last update: 8 January 2024

Copyright license: MIT license, File License

Software version identifier: 0.1.0, 0.1.1

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.

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