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

kernelstr

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
float

The estimated optimal bandwidth.

Return type

float