bootstrap_F1: Bootstrap test for threshold effect following Hansen (1999,...

In fditraglia/forcedMigration: Forced Migration Package

Bootstrap test for threshold effect following Hansen (1999, JOE)

Description

Bootstrap test for threshold effect following Hansen (1999, JOE)

Usage

bootstrap_F1(
  X,
  Y,
  n_bootstrap = 500,
  q_lower = 0.05,
  q_upper = 0.95,
  n_grid = 180
)

Arguments

X	Panel data for x. Assumes that each row is an individual and each column is a time period.
Y	Panel data for y. Assumes that each row is an individual and each column is a time period.
n_bootstrap	Number of bootstrap draws
q_lower	Quantile of x above which we will search for the threshold
q_upper	Quantile of of x below which we will search for the threshold
n_grid	Number of grid points between q_lower and q_lower over which we will search for the the threshold

Value

List with bootstrap results:

• gamma_hat Estimated threshold location

• gamma_seq Grid of values considered for threshold location

• S0 Sum of squared residuals for restricted model with no threshold

• coef0 Estimated regression coefficients for restricted model with no

• e_tilde Residuals from the restricted model with no threshold threshold

• e_gamma_hat Residuals for threshold model with gamma set equal to gamma_hat

• S1_gamma_hat Sum of squared residuals for threshold model with gamma set equal to gamma_hat

• S1 Vector corresponding to gamma_seq. Each element is the sum of squared residuals for a thresdhold model with that particular value of gamma.

• F1 Value of the F-test statistic for the input dataset

• F1_boot Vector of values for F-test statistic in each of the bootstrap samples

• pvalue Bootstrap p-value for test of the null hypothesis that there is no threshold, calculated from F1 and F1_boot

• n_i Number of individuals in the panel

• n_T Number of time periods in the panel

Examples

test_data <- dgp_threshold()
results <- bootstrap_F1(test_data$X, test_data$Y)

fditraglia/forcedMigration documentation built on July 16, 2022, 12:33 p.m.