bootstrap_F1 | R Documentation |
Bootstrap test for threshold effect following Hansen (1999, JOE)
bootstrap_F1( X, Y, n_bootstrap = 500, q_lower = 0.05, q_upper = 0.95, n_grid = 180 )
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 |
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
test_data <- dgp_threshold() results <- bootstrap_F1(test_data$X, test_data$Y)
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