Tboot: Bootstrap-t Confidence Interval (Wild Bootstrap) - Linear...

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. Ranges are estimated by the bootstrap-t and double bootstrap-t.

Usage

Tboot(model, significance=0.05, hc=4, 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;
hc	Method HC that will be used to estimate the covariance structure. The argument method may be 0, 2, 3, 4 or 5;
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

Pboot.

Examples

data(schools)
datas = schools[-50,]
y = datas$Expenditure 
x = datas$Income/10000
model = lm(y ~ x)
Tboot(model=model, significance = 0.05, hc = 4, double = FALSE,
      J=1000, K = 100, distribution = "rademacher")

Example output

$beta
[1] -151.2651  689.3881

$ci_lower_simple
[1] -435.6800  301.0387

$ci_upper_simple
[1]  132.0768 1077.1373

$ci_lower_double
logical(0)

$ci_upper_double
logical(0)

$J
[1] 1000

$K
[1] 100

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