GridSnoopingCV: Snooping-adjusted critical values for bandwidth ratios on a...

Description Usage Arguments

Description

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.

Usage

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

Arguments

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


kolesarm/BWSnooping documentation built on May 20, 2019, 12:54 p.m.