View source: R/bootstrap_functions.R
BS_local_factor | R Documentation |
This function employs a bootstrap procedure to obtain confidence intervals
for the local factors in block i
at time t
. See Lin and Shin (2023) for details.
BS_local_factor(object, i, t, BB = 599, alpha = 0.05)
object |
An S3 object of class 'multi_result' created by multilevel(). |
i |
An integer indicating the |
t |
An integer specifying the time point at which the CI is constructed. |
BB |
An integer indicating the number of bootstrap repetition. 599 by default. |
alpha |
The significance level, a single numeric between 0 and 1. 0.05 by default. |
A matrix containing the upper and lower band.
Lin, R. and Shin, Y., 2022. Generalised Canonical Correlation Estimation of the Multilevel Factor Model. Available at SSRN 4295429.
panel <- UKhouse # load the data
est_multi <- multilevel(panel, ic = "BIC3", standarise = TRUE, r_max = 5,
depvar_header = "dlPrice", i_header = "Region",
j_header = "LPA_Type", t_header = "Date")
bs_local_factor_11 <- BS_local_factor(est_multi, i = 1, t = 1)
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