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

float