Robust Covariance Matrix Estimators


[Package List] [Top]
bwAndrews Kernel-based HAC Covariance Matrix Estimation
estfun Extract Estimating Functions
isoacf Isotonic Autocorrelation Function
kernHAC Kernel-based HAC Covariance Matrix Estimation
kweights Kernel Weights
pava.blocks Isotonic Autocorrelation Function
vcovHAC Heteroskedasticity and Autocorrelation Consistent (HAC) Covariance Matrix Estimation
vcovHC Heteroskedasticity-Consistent Covariance Matrix Estimation
weave Weighted Empirical Adaptive Variance Estimation
weightsAndrews Kernel-based HAC Covariance Matrix Estimation
weightsLumley Weighted Empirical Adaptive Variance Estimation