arch.unitroot.auto_bandwidth¶
-
arch.unitroot.auto_bandwidth(y, kernel='ba')[source]¶ Automatic bandwidth selection of Andrews (1991) and Newey & West (1994).
- Parameters
y ({ndarray, Series}) -- Data on which to apply the bandwidth selection
kernel (str) --
The kernel function to use for selecting the bandwidth
'ba', 'bartlett', 'nw': Bartlett kernel (default)
'pa', 'parzen', 'gallant': Parzen kernel
'qs', 'andrews': Quadratic Spectral kernel
- Returns
The estimated optimal bandwidth.
- Return type