Pboot: Percentile Bootstrap Confidence Interval (Wild Bootstrap) -...

In hcci: Interval estimation for the parameters of linear models with heteroskedasticity (Wild Bootstrap)

Description

This function calculates confidence intervals for the parameters in heteroskedasticity linear regression models. The intervals are estimated by bootstrap percentile.

Usage

Pboot(model, significance=0.05, double=FALSE, J=NULL, K=NULL,
      distribution="rademacher")

Arguments

model	Any object of class lm;
significance	Significance level of the test. By default, the level of significance is 0.05;
double	If double = TRUE will be calculated intervals bootstrap t and double bootstrap t. The default is double = FALSE;
J	Number of replicas of the first bootstrap;
K	Number of replicas of the second bootstrap;
distribution	Distribution of the random variable with mean zero and variance one. This random variable multiplies the error estimates in the generation of the samples. The argument distribution can be rademacher or normal (standard normal). The default is distribution = rademacher.

Author(s)

Pedro Rafael Diniz Marinho <[e-mail]>

References

Booth, J.G. and Hall, P. (1994). Monte Carlo approximation and the iterated bootstrap. Biometrika, 81, 331-340.

Cribari-Neto, F.; Lima, M.G. (2009). Heteroskedasticity-consistent interval estimators. Journal of Statistical Computation and Simulation, 79, 787-803;

Wu, C.F.J. (1986). Jackknife, bootstrap and other resampling methods in regression analysis, 14, 1261-1295;

McCullough, B.D; Vinod, H.D. (1998). Implementing the double bootstrap, 12, 79-95.

See Also

Tboot.

Examples

data(schools)
datas = schools[-50,]
y = datas$Expenditure 
x = datas$Income/10000
model = lm(y ~ x)
Pboot(model=model, significance = 0.05, double = FALSE,
      J=1000, K = 100, distribution = "rademacher")

Example output

$beta
[1] -151.2651  689.3881

$ci_lower_simple
[1] -362.9986  419.8198

$ci_upper_simple
[1]  46.68133 971.98637

$ci_lower_double
logical(0)

$ci_upper_double
logical(0)

hcci documentation built on May 2, 2019, 2:07 a.m.