NSE

nse (Ardia and Bluteau, 2017) 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 NSE estimators, including batch means estimators, initial sequence estimators, spectrum at zero estimators, heteroskedasticity and autocorrelation consistent (HAC) kernel estimators and bootstrap estimators. See Ardia and Bluteau (2017) for details. The full set of methods available in nse is summarized in Ardia et al. (2018) together with several examples of applications in econometrics and finance.

Please cite the package in publications!

By using nse you agree to the following rules:

1. You must cite Ardia and Bluteau (2017) in working papers and published papers that use nse.
2. You must place the following URL in a footnote to help others find nse: https://CRAN.R-project.org/package=nse.
3. You assume all risk for the use of nse.

Ardia, D., Bluteau, K. (2017).
nse: Computation of numerical standard errors in R.
Journal of Open Source Software, 10(2), 1.
https://doi.org/10.21105/joss.00172

Other reference

Ardia, D., Bluteau, K., Hoogerheide, L.F. (2018).
Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation.
Journal of Time Series Econometrics, 10(2), 1-9.
https://doi.org/10.1515/jtse-2017-0011
https://doi.org/10.2139/ssrn.2741587