Linear Regression with Stationary Errors: the R Package slm

@article{Caron2021LinearRW,
  title={Linear Regression with Stationary Errors: the R Package slm},
  author={Emmanuel E. C. Caron and J{\'e}r{\^o}me Dedecker and Bertrand Michel},
  journal={R J.},
  year={2021},
  volume={13},
  pages={83}
}
This paper introduces the R package slm which stands for Stationary Linear Models. The package contains a set of statistical procedures for linear regression in the general context where the error process is strictly stationary with short memory. We work in the setting of Hannan (1973), who proved the asymptotic normality of the (normalized) least squares estimators (LSE) under very mild conditions on the error process. We propose different ways to estimate the asymptotic covariance matrix of… Expand
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