linearmodels.iv.covariance.kernel_optimal_bandwidth¶

linearmodels.iv.covariance.kernel_optimal_bandwidth(x: ndarray[Any, dtype[float64]], kernel: str = 'bartlett') → int[source]¶

Parameters:¶

x: ndarray[Any, dtype[float64]]¶

Array of data to use when computing optimal bandwidth

kernel: str = 'bartlett'¶

Name of kernel to use. Supported kernels include:

• ”bartlett”, “newey-west” - Bartlett’s kernel

• ”parzen”, “gallant” - Parzen’s kernel

• ”qs”, “quadratic-spectral”, “andrews” - Quadratic spectral kernel

Returns:¶

Optimal bandwidth. Set to nobs - 1 if computed bandwidth is larger.

Return type:¶

int

Notes

Todo

• Explain mathematics involved

• References

See also

linearmodels.iv.covariance.kernel_weight_bartlett, linearmodels.iv.covariance.kernel_weight_parzen, linearmodels.iv.covariance.kernel_weight_quadratic_spectral