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evencol
2012 Nov 05
0
Customly low standard deviation in fracdiff.var function
...ries, fd.out, h = .0001))## looks identical as print(fd.out),## however these (e.g.) differ :vcov(fd.out)vcov(fd.o2)
{end of quote}
Looking at vcov(fd.o2) gives that sd's are indeed lower than in vcov(fd.out). However, by testing :
vcov(fracdiff.var(ts.test$series, fd.o2, h = 0.00000000001))or evenvcov(fracdiff.var(ts.test$series, fd.o2, h = 1e-90))
the sd of "d" doesn't stop decreasing, while the others have reached their "computational" limit.
Is that normal ? If not, which value of sd(d) can I use ?
Hopping I have been clear enough,Many thanks !
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