Last data update: 2014.03.03
R: Spatial two stages least square with HAC standard errors
Spatial two stages least square with HAC standard errors
Description
Main functions to calculate the kernels in stslshac
Details
Six different kernel functions are implemented:
'Epanechnikov'
: K(z) = 1-z^2
'Triangular'
: K(z) = 1-z
'Bisquare'
: K(z) = (1-z^2)^2
'Parzen'
: K(z) = 1-6z^2+6 |z|^3 if z ≤q 0.5 and
K(z) = 2(1-|z|)^3 if 0.5 < z ≤q 1
'TH'
(Tukey - Hanning): K(z) = frac{1+ cos(π z)}{2}
'QS'
(Quadratic Spectral): K(z) = frac{25}{12π^2z^2}
(frac{sin(6π z)/5)}{6π z/5} - cos(6π z)/5) ).
If the kernel type is not one of the six implemented, the function will terminate with an error message.
The spatial two stage least square estimator is based on the matrix of instruments H=[X,WX,W^2X^2] .
Author(s)
Gianfranco Piras gpiras@mac.com
See Also
gstslshet
, distance
, distance
Results