tvReg (version 0.5.9)

bwCov: Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.

Description

Covariance Bandwidth Calculation by Cross-Validation bwCov calculates a single bandwidth to estimate the time-varying variance- covariance matrix.

Usage

bwCov(
  x,
  z = NULL,
  cv.block = 0,
  est = c("lc", "ll"),
  tkernel = c("Triweight", "Epa", "Gaussian")
)

Value

A scalar.

Arguments

x

A matrix or a data frame.

z

A vector with the variable over which coefficients are smooth over.

cv.block

A positive scalar with the size of the block in leave-one block-out cross-validation. By default 'cv.block=0' meaning leave-one-out cross-validation.

est

The nonparametric estimation method, one of "lc" (default) for linear constant or "ll" for local linear.

tkernel

A character, either "Triweight" (default), "Epa" or "Gaussian" kernel function.

Examples

data(CEES)
## Using a shorter set for a quick example. Variable "Date" is removed.
mydata <- tail (CEES[, -1], 50)
bw.cov <- bwCov(mydata)
Sigma.hat <- tvCov(mydata, bw = bw.cov)