pmpp (version 0.1.1)

get_kernel: Obtain 2D kernel density estimates given sufficient statistics for lambdas and the initial data Y0

Description

Obtain 2D kernel density estimates given sufficient statistics for lambdas and the initial data Y0

Usage

get_kernel(lambdas, sigma2, dens_grid, N, T, Y0)

Arguments

lambdas

sufficient statistics for the intercept term

sigma2

variance of the shocks

dens_grid

grid over which the density is to be computed

N

cross-sectional dimension of the data

T

time dimension of the data

Y0

initial observations of the dependent variable