NW.estimation: Nadaraya–Watson kernel regression.

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

Nadaraya–Watson kernel regression.

Description

Nadaraya–Watson kernel regression.

Usage

NW.estimation(y, x, h, kernel = "unif")

Arguments

y	A dependent variable.
x	Explanatory variables.
h	A bandwidth parameter.
kernel	Needed kernel, currently only unif and gauss: unif: K(x) = \left\{\begin{array}{ll} 1 & \frac{|x - x_i|}{h} \leq 1 \\ 0 & \textrm{otherwize} \end{array}\right. gauss: \Phi(\frac{x - x_i}{h})

Value

A list of arguments as well as the estimated coefficient vector and residuals.

References

Harvey, David I., S. Leybourne, Stephen J., and Yang Zu. “Nonparametric Estimation of the Variance Function in an Explosive Autoregression Model.” School of Economics. University of Nottingham, 2022.

d9d6ka/RANEPA-R documentation built on May 4, 2024, 7:11 a.m.