NW.volatility: Nadaraya–Watson kernel volatility estimation

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

Nadaraya–Watson kernel volatility estimation

Description

Nadaraya–Watson kernel volatility estimation

Usage

NW.volatility(e, h, kernel = "unif")

Arguments

e	A series of interest.
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 omega and s.e.

References

Cavaliere, Giuseppe, Peter C. B. Phillips, Stephan Smeekes, and A. M. Robert Taylor. “Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility.” Econometric Reviews 34, no. 4 (April 21, 2015): 512–36. https://doi.org/10.1080/07474938.2013.808065.

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.