kernel: Spatial two stages least square with HAC standard errors

In sphet: Estimation of Spatial Autoregressive Models with and without Heteroskedastic Innovations

Description

Main functions to calculate the kernels in stslshac

Details

Six different kernel functions are implemented:

• 'Epanechnikov': K(z) = 1-z^2

• 'Rectangular': K(z) = 1-z^2

• 'Triangular': K(z) = 1-z

• 'Bisquare': K(z) = (1-z^2)^2

• 'Parzen': K(z) = 1-6z^2+6 |z|^3 if z ≤q 0.5 and K(z) = 2(1-|z|)^3 if 0.5 < z ≤q 1

• 'TH' (Tukey - Hanning): K(z) = \frac{1+ \cos(π z)}{2}

• 'QS' (Quadratic Spectral): K(z) = \frac{25}{12π^2z^2} (\frac{\sin(6π z)/5)}{6π z/5} - \cos(6π z)/5)).

If the kernel type is not one of the six implemented, the function will terminate with an error message. The spatial two stage least square estimator is based on the matrix of instruments H=[X,WX,W^2X^2].

Author(s)

Gianfranco Piras [e-mail]

See Also

gstslshet, distance, distance

sphet documentation built on May 4, 2020, 3 p.m.