bwCov: Covariance Bandwidth Calculation by Cross-Validation _bwCov_...

In tvReg: Time-Varying Coefficient for Single and Multi-Equation Regressions

Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.

Description

Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.

Usage

bwCov(
  x,
  z = NULL,
  cv.block = 0,
  est = c("lc", "ll"),
  tkernel = c("Triweight", "Epa", "Gaussian")
)

Arguments

x	A matrix or a data frame.
z	A vector with the variable over which coefficients are smooth over.
cv.block	A positive scalar with the size of the block in leave-one block-out cross-validation. By default 'cv.block=0' meaning leave-one-out cross-validation.
est	The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear.
tkernel	A character, either "Triweight" (default), "Epa" or "Gaussian" kernel function.

Value

A scalar.

Examples

data(CEES)
## Using a shorter set for a quick example. Variable "Date" is removed.
mydata <- tail (CEES[, -1], 50)
bw.cov <- bwCov(mydata)
Sigma.hat <- tvCov(mydata, bw = bw.cov)

tvReg documentation built on Sept. 1, 2023, 5:07 p.m.