NSE: Computation of Numerical Standard Errors in R
Journal of Open Source Software, Vol. 10, No. 2, 2017
Posted: 6 Aug 2018
Date Written: January 10, 2017
NSE is an R package for computing the numerical standard error (NSE), an estimate of the standard deviation of a simulation result if the simulation experiment were to be repeated many times. The package provides a set of wrappers around several R packages, which give access to more than thirty estimators, including batch means estimators (Geyer (1992 Section 3.2), initial sequence estimators (Geyer (1992 Equation 3.3), spectrum at zero estimators (Heidelberger and Welch (1981),Flegal and Jones (2010), heteroskedasticity and autocorrelation consistent (HAC) kernel estimators (Newey and West (1987), Andrews (1991), Andrews and Monahan (1992), Newey and West (1994), Hirukawa (2010), and bootstrap estimators Politis and Romano (1992), Politis and Romano (1994), Politis and White (2004).
Keywords: bootstrap, HAC kernel, numerical standard error (NSE), Monte Carlo, spectral density, R software
JEL Classification: C12, C15, C22
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