lrvar |
window=arg | Type of long-run covariance to compute: “sym” (symmetric), “lower” (lower - lags in columns), “slower” (strict lower - lags only), “upper” (upper - leads in columns), “supper” (strict upper - leads only) |
noc | Do not remove means (center data) prior to whitening. |
out=arg | Name of output sym or matrix (optional) |
panout=arg | Name of ee output matrix (optional). |
prompt | Force the dialog to appear from within a program. |
p | Print results. |
lag=arg | Lag specification: integer (user-specified number of lags), “a” (automatic selection). |
infosel=arg (default=“aic”) | Information criterion for automatic selection: “aic” (Akaike), “sic” (Schwarz), “hqc” (Hannan-Quinn) (if “lag=a”). |
maxlag=integer | Maximum lag-length for automatic selection (optional) (if “lag=a”). The default is an observation-based maximum of . |
kern=arg (default=“bart”) | Kernel shape: “none” (no kernel), “bart” (Bartlett, default), “bohman” (Bohman), “daniell” (Daniel), “parzen” (Parzen), “parzriesz” (Parzen-Riesz), “parzgeo” (Parzen-Geometric), “parzcauchy” (Parzen-Cauchy), “quadspec” (Quadratic Spectral), “trunc” (Truncated), “thamm” (Tukey-Hamming), “thann” (Tukey-Hanning), “tparz” (Tukey-Parzen), “user” (User-specified; see “kernwgt=” below). |
kernwgt=vector | User-specified kernel weight vector (if “kern=user”). |
bw=arg (default=”nwfixed”) | Bandwidth: “fixednw” (Newey-West fixed), “andrews” (Andrews automatic), “neweywest” (Newey-West automatic), number (User-specified bandwidth). |
nwlag=integer | Newey-West lag-selection parameter for use in nonparametric bandwidth selection (if “bw=neweywest”). |
bwoffset=integer (default=0) | Apply integer offset to bandwidth chosen by automatic selection method (“bw=andrews” or “bw=neweywest”). |
bwint | Use integer portion of bandwidth chosen by automatic selection method (“bw=andrews” or “bw=neweywest”). |