Numerical Standard Errors Computation in R

Collection of functions designed to calculate numerical standard error (NSE) of univariate time series as described in Ardia et al. (2018) and Ardia and Bluteau (2017) .


Changes in Version 1.19 o References updated Changes in Version 1-00.18 o New spectral methods added Changes in Version 1-00.17 o Doc updated o CRAN release Changes in Version 1-00.16 o Doc updated Changes in Version 1-00.15 o Doc updated o tests added o square root returned (NSE) instead of variance Changes in Version 1-00.14 o Doc updated Changes in Version 1-00.12 o Update info Changes in Version 1-00.11 o Fixed AR(p) prewhitening o AR or ARIMA approximation for Andrews method o PSD package dependency removed Changes in Version 1-00.10 o Several enhancements; fixed prewhitening o new naming for prewhitening o now automatic lag selection for prewhitening possible Changes in Version 1-00.09 o Added glm spectrum estimation and constant block bootstrap estimation Changes in Version 1-00.08 o Fixed bug that occurs when compiling documentation or using devtools::document() Changes in Version 1-00.07 o Citation modified o Reference modified Changes in Version 1-00.06 o Added Citation o Added Copyrights o Change Description Changes in Version 1-00.05 o Deleted some spectral density estimator and added others o Added overlap batch-means estimator, mcmcse package wrapper o Added batch option in spectral density for smoother spectral density estimator. Changes in Version 1-00.04 o Corrected NAMESPACE Changes in Version 1-00.03 o Added psd package for another spectral density estimator o Added prewhitening otion for spectral density estimator Changes in Version 1-00.02 o Fixed bug in Roxygen documentation Changes in Version 1-00.01 o First version released

Reference manual

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1.20 by Keven Bluteau, 9 months ago

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Authors: David Ardia [aut] , Keven Bluteau [aut, cre]

Documentation:   PDF Manual  

Task views: Econometrics

GPL (>= 2) license

Imports Rcpp, coda, mcmc, mcmcse, np, sandwich

Suggests testthat

Linking to Rcpp

See at CRAN