arch.covariance.kernel.NeweyWest

class arch.covariance.kernel.NeweyWest(x, bandwidth=None, df_adjust=0, center=True, weights=None, force_int=False)[source]

Alternative name for Bartlett covariance estimator.

See also

Bartlett

Methods

Properties

bandwidth

The bandwidth used by the covariance estimator.

bandwidth_scale

The power used in optimal bandwidth calculation.

centered

Flag indicating whether the data are centered (demeaned).

cov

The estimated covariances.

force_int

Flag indicating whether the bandwidth is restricted to be an integer.

kernel_const

The constant used in optimal bandwidth calculation.

kernel_weights

Weights used in covariance calculation.

name

The covariance estimator’s name.

opt_bandwidth

Estimate optimal bandwidth.

rate

The optimal rate used in bandwidth selection.