kweights2 {gmm}R Documentation

Kernel Weights

Description

Kernel weights for kernel-based heteroskedasticity and autocorrelation consistent (HAC) covariance matrix estimators as introduced by Andrews (1991). This function comes from the sandwich package.

Usage

kweights2(x, kernel = c("Truncated", "Bartlett", "Parzen",
  "Tukey-Hanning", "Quadratic Spectral"), normalize = FALSE)

Arguments

x numeric.
kernel a character specifying the kernel used. All kernels used are described in Andrews (1991).
normalize logical. If set to TRUE the kernels are normalized as described in Andrews (1991).

Value

Value of the kernel function at x.

References

Andrews DWK (1991), Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation. Econometrica, 59, 817–858.


[Package gmm version 1.3-0 Index]