nw: Bandwidth Selection
In Stevo15025/PANICr: PANIC Tests of Nonstationarity
nw R Documentation
Bandwidth Selection
Description
This function at fixk 0 finds the bandwidth, or lag length, of the
short, long, and run variance of a residual.
Usage
nw(v,fixk)
Arguments
v
A cector of error terms from a factor model
fixk
If fixk is 0, then this function will perform automatic bandwidth
selection. Otherwise, the integer placed here will be the selected bandwidth.
Value
k An integer that is the bandwidth chosen by nw()
w The vector of long run variance
References
Moon, R. & B. Perron (2004) Testing for a unit root in panels with
dynamic factors. Journal of Econometrics 122, 81-126.
Stevo15025/PANICr documentation built on Sept. 7, 2024, 4:30 p.m.
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| nw | R Documentation |
Bandwidth Selection
Description
This function at fixk 0 finds the bandwidth, or lag length, of the short, long, and run variance of a residual.
Usage
nw(v,fixk)
Arguments
v |
A cector of error terms from a factor model |
fixk |
If fixk is 0, then this function will perform automatic bandwidth selection. Otherwise, the integer placed here will be the selected bandwidth. |
Value
k An integer that is the bandwidth chosen by nw()
w The vector of long run variance
References
Moon, R. & B. Perron (2004) Testing for a unit root in panels with dynamic factors. Journal of Econometrics 122, 81-126.
R Package Documentation
Browse R Packages
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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