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JeffreyRacine / R-Package-np

R package np (Nonparametric Kernel Smoothing Methods for Mixed Data Types)
https://socialsciences.mcmaster.ca/people/racinej
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npindexbw with multiplicative but known heteroskedasticity #22

Closed kenanh closed 3 years ago

kenanh commented 4 years ago

In Klein and Spady (1993) Econometrica article authors state that their single index model can accomodate multiplicative heteroskedasticity of a known type. Is there a way to conduct KleinSpady wit np package with a specified multiplicative heteroskedasticity, and how?

JeffreyRacine commented 3 years ago

Greetings,

Not a feature (though the code calls npksum() so perhaps you might modify the R code from the tarball for your purposes).

Jeff