[R] autoregressive spectral density estimate by andrews' plug-in method?

From: Martin Ivanov <tramni_at_abv.bg>
Date: Mon, 11 Jun 2007 18:32:37 +0300 (EEST)


Hello!
I would like to ask if there is in R a function that estimates the spectral density function of a stochastic series at frequency zero by the "plug-in method", advocated by Andrews in his paper "Heteroscedasticity and Autocorrelation Consistent Covariance Matrix Estimation", Econometrica, 59,817-858. I saw R has functions that employ Andrews' plug-in method using an AR(1) approximation for the estimation of the variance-covariance matrix in linear models. They come with the sandwich package. The so called "meat" is actually the estimate of the spectral density matrix of the model coefficients at frequency zero. However, I have a time series of length 160 and I need to estimate its spectral density via Andrews methodology. Any suggestions will be appreciated. Excuse me if I am asking something obvious.

Regards,
Martin



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