GridSnoopingCV: Snooping-adjusted critical values for bandwidth ratios on a...
In kolesarm/BWSnooping: Confidence invervals robust to bandwidth snooping

Description Usage Arguments

Calculate one- and two-sided critical values c_{1-α}(t;k) for ngr values of t=\overline{h}/\underline{h} in between 1 and 100 based on evaluating the Gaussian process \hat{\mathbb{H}}(h) at the same values.

1	GridSnoopingCV(S, T, ngr, kernel, alpha = c(0.1, 0.05, 0.01))

`S`	number of draws of the Gaussian process \hat{\mathbb{H}}(h)
`T`	number of draws from a normal distribution in each draw of the Gaussian process
`ngr`	number of grid points on which to evaluate the Gaussian process \hat{\mathbb{H}}(s), or else a vector of grid points
`kernel`	Kernel function k(u) supported on [-1,1] that takes a vector or a matrix as an argument u.
`alpha`	A vector of values determining the confidence level 1-α at which to compute critical values