Hi everybody,
I'm wondering how to achieve something that would be the multivariate
generalization of the lrvar function (long-run variance of a series).
I know how I could do it "from scratch", so this is not a question of
how to construct it from the raw variables. Instead I want to avoid
reinventing the wheel and ideally also have something reasonably efficient.
Does the "ghosts" package for multivariate spectra contain something
useful? (jack?)
Or any other function package?
thanks,
sven