nemoment: The naive estimation of the moments

In tkhdyanagi/panelhetero: Panel Data Analysis with Heterogeneous Dynamics

The naive estimation of the moments

Description

The 'nemoment()' function enables to implement the naive estimation of the moments of the heterogeneous mean, the heterogeneous autocovariance, and the heterogeneous autocorrelation. The method is developed by Okui and Yanagi (2019). For more details, see the package vignette with 'vignette("panelhetero")'.

Usage

nemoment(data, acov_order = 0, acor_order = 1, R = 1000)

Arguments

data	A matrix of panel data. Each row corresponds to individual time series.
acov_order	A non-negative integer of the order of autocovariance. Default is 0.
acor_order	A positive integer of the order of autocorrelation Default is 1.
R	A positive integer of the number of bootstrap repetitions. Default is 1000.

Value

A list that contains the following elements.

estimate	A vector of the parameter estimates
se	A vector of the standard errors
ci	A matrix of the 95 percent confidence intervals
quantity	A matrix of the estimated heterogeneous quantities
acov_order	The order of autocovariance
acor_order	The order of autocovariance
N	The number of cross-sectional units
S	The length of time series
R	The number of bootstrap repetitions

References

Okui, R. and Yanagi, T., 2019. Panel data analysis with heterogeneous dynamics. Journal of Econometrics, 212(2), pp.451-475.

Examples

data <- panelhetero::simulation(N = 300, S = 50)
panelhetero::nemoment(data = data)

tkhdyanagi/panelhetero documentation built on June 28, 2023, 1:48 a.m.