arch.unitroot.auto_bandwidth¶
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arch.unitroot.auto_bandwidth(y: Sequence[float | int] | ndarray | Series, kernel: 'ba' | 'bartlett' | 'nw' | 'pa' | 'parzen' | 'gallant' | 'qs' | 'andrews' =
'ba') float[source]¶ Automatic bandwidth selection of Andrews (1991) and Newey & West (1994).
- Parameters:¶
- y: Sequence[float | int] | ndarray | Series¶
Data on which to apply the bandwidth selection
- kernel: 'ba' | 'bartlett' | 'nw' | 'pa' | 'parzen' | 'gallant' | 'qs' | 'andrews' =
'ba'¶ 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:¶