bootSignPcent: Probability of unambiguously correct (+ or -) sign from... In generalCorr: Generalized Correlations, Causal Paths and Portfolio Selection

Description

If there are p columns of data, bootSignPcent produces a p-1 by 1 vector of probabilities of correct signs assuming that the mean of n999 values has the correct sign and assuming that m of the 'ui' index values inside the range [-tau, tau] are neither positive nor negative but indeterminate or ambiguous (being too close to zero). That is, the denominator of P(+1) or P(-1) is (n999-m) if m signs are too close to zero. Thus it measures the bootstrap success rate in identifying the correct sign, when the sign of the average of n999 bootstraps is assumed to be correct.

Usage

 1 bootSignPcent(out, tau = 5)

Arguments

 out output from bootPairs with p-1 columns and n999 rows tau threshold to determine what value is too close to zero, default tau=5 is 5 percent threshold for the unanimity index ui

Value

sgn When mtx has p columns, sgn reports pairwise p-1 signs representing (fixing the first column in each pair) the average sign after averaging the output of of bootPairs(mtx) (a n999 by p-1 matrix) each containing resampled ‘sum’ values summarizing the weighted sums associated with all three criteria from the function silentPairs(mtx) applied to each bootstrap sample separately. #'

Author(s)

Prof. H. D. Vinod, Economics Dept., Fordham University, NY

References

Vinod, H. D. 'Generalized Correlation and Kernel Causality with Applications in Development Economics' in Communications in Statistics -Simulation and Computation, 2015, https://doi.org/gffn86

Vinod, H. D. and Lopez-de-Lacalle, J. (2009). 'Maximum entropy bootstrap for time series: The meboot R package.' Journal of Statistical Software, Vol. 29(5), pp. 1-19.

Vinod, H. D. Causal Paths and Exogeneity Tests in Generalcorr Package for Air Pollution and Monetary Policy (June 6, 2017). Available at SSRN: https://www.ssrn.com/abstract=2982128