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R
cointReg

getLongRunWeights

Weights for Long-Run Variance

Description

Compute the weights corresponding to some kernel funtions.

Usage

getLongRunWeights(n, bandwidth, kernel)

Arguments

n

[numeric(1)]
Length of weights' vector.
bandwidth

[numeric(1)]
The bandwidth (as number).
kernel

[character(1)]
The kernel function (see getLongRunVar for possible values).

Value

[list] with components:

w [numeric]

Vector of weights

upper [numeric(1)]

Index to largest non-zero entry in w

See Also

Examples

lrw.ba = cointReg:::getLongRunWeights(100, kernel = "ba", bandwidth = 25)
plot(lrw.ba$w)
cointReg

Parameter Estimation and Inference in a Cointegrating Regression

v0.2.0
GPL-3
Authors
Philipp Aschersleben [aut, cre], Martin Wagner [aut] (Author of underlying MATLAB code.)
Initial release
2016-06-14

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