dwBS: Dependent wild bootstrap for resampling time series

In GCCfactor: GCC Estimation of the Multilevel Factor Model

Dependent wild bootstrap for resampling time series

Description

Select an optimal bandwidth parameter and apply the dependent wild bootstrap with Bartlett kernel to obtain the resampled time series.

Usage

dwBS(y)

Arguments

y	A T\times 1 vector of time series to be resampled.

Value

A T\times 1 matrix of resampled time series.

References

Shao, X., 2010. The dependent wild bootstrap. Journal of the American Statistical Association, 105(489), pp.218-235.

Examples

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")
G_star <- dwBS(est_multi$G)

GCCfactor documentation built on Nov. 2, 2023, 5:59 p.m.