Variance and reference-distribution specification

Variance and reference-distribution specification

Usage

variance_spec(
  method = c("model", "hac", "sandwich"),
  max_lag = "auto",
  taper = c("none", "tukey", "parzen"),
  debias = TRUE,
  df = c("residual", "satterthwaite")
)

Arguments

method

Covariance estimator: model-based, HAC, or sandwich.

max_lag

Maximum HAC lag, or "auto" for a data-dependent lag.

taper

HAC lag-window taper.

debias

Apply the estimator's finite-sample correction.

df

Reference degrees-of-freedom method.