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mlrv  

Long-Run Variance Estimation in Time Series Regression
View on CRAN: Click here


Download and install mlrv package within the R console
Install from CRAN:
install.packages("mlrv")

Install from Github:
library("remotes")
install_github("cran/mlrv")

Install by package version:
library("remotes")
install_version("mlrv", "0.1.2")



Attach the package and use:
library("mlrv")
Maintained by
Lujia Bai
[Scholar Profile | Author Map]
First Published: 2023-11-08
Latest Update: 2024-01-08
Description:
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.
How to cite:
Lujia Bai (2023). mlrv: Long-Run Variance Estimation in Time Series Regression. R package version 0.1.2, https://cran.r-project.org/web/packages/mlrv. Accessed 31 Mar. 2025.
Previous versions and publish date:
0.1.0 (2023-11-08 20:30), 0.1.1 (2024-01-09 00:10)
Other packages that cited mlrv R package
View mlrv citation profile
Other R packages that mlrv depends, imports, suggests or enhances
Complete documentation for mlrv
Functions, R codes and Examples using the mlrv R package
Some associated functions: Heter_LRV . LocLinear . MV_critical . MV_critical_cp . MV_ise_heter_critical . Qct_reg . Qt_data . bregress2 . gcv_cov . heter_covariate . heter_gradient . hk_data . loc_constant . lrv_measure . mlrv-package . rule_of_thumb . sim_T . 
Some associated R codes: DGP.R . RcppExports.R . Test_statistics.R . mlrv-package.R .  Full mlrv package functions and examples
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