select_bandwidth_andrews: Andrews (1991) Automatic Bandwidth Selection
In rbfmvar: Residual-Based Fully Modified Vector Autoregression
select_bandwidth_andrews R Documentation
Andrews (1991) Automatic Bandwidth Selection
Description
Implements the data-dependent automatic bandwidth selection
procedure of Andrews (1991).
Usage
select_bandwidth_andrews(v, kernel = "bartlett")
Arguments
v
Matrix of residuals (T x n).
kernel
Character string specifying the kernel type.
Value
Optimal bandwidth.
References
Andrews, D. W. K. (1991). Heteroskedasticity and Autocorrelation Consistent
Covariance Matrix Estimation. Econometrica, 59(3), 817-858.
\Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2938229")}
rbfmvar documentation built on April 9, 2026, 9:08 a.m.
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| select_bandwidth_andrews | R Documentation |
Andrews (1991) Automatic Bandwidth Selection
Description
Implements the data-dependent automatic bandwidth selection procedure of Andrews (1991).
Usage
select_bandwidth_andrews(v, kernel = "bartlett")
Arguments
v |
Matrix of residuals (T x n). |
kernel |
Character string specifying the kernel type. |
Value
Optimal bandwidth.
References
Andrews, D. W. K. (1991). Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59(3), 817-858. \Sexpr[results=rd]{tools:::Rd_expr_doi("10.2307/2938229")}
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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