get_bw: Get an optimal bandwidth using Bartlett kernel

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Get an optimal bandwidth using Bartlett kernel

Description

Automatic bandwidth selection of Andrews (1991) using Bartlett kernel.

Usage

get_bw(y)

Arguments

y	A T\times 1 vector of time series

Value

A numeric.

References

Andrews, D.W., 1991. Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica: Journal of the Econometric Society, pp.817-858.

Examples

panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
                           depvar_header = "dlPrice", i_header = "Region",
                           j_header = "LPA_Type", t_header = "Date")
lT_G <- get_bw(est_multi$G)

GCCfactor documentation built on Nov. 2, 2023, 5:59 p.m.