tojecdf: The TOJ bias-corrected empirical CDF estimation

In tkhdyanagi/panelhetero: Panel Data Analysis with Heterogeneous Dynamics

The TOJ bias-corrected empirical CDF estimation

Description

The 'tojecdf()' function enables to implement the TOJ bias-corrected estimation of the cumulative distribution function (CDF) 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

tojecdf(data, acov_order = 0, acor_order = 1, R = 1000, ci = TRUE)

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.
ci	A logical whether to estimate the confidence interval. Default is TRUE.

Value

A list that contains the following elements.

mean	A plot of the corresponding CDF
acov	A plot of the corresponding CDF
acor	A plot of the corresponding CDF
mean_func	A function that returns the corresponding CDF
acov_func	A function that returns the corresponding CDF
acor_func	A function that returns the corresponding CDF
mean_ci_func	A function that returns the 95 percent confidence interval for the corresponding CDF
acov_ci_func	A function that returns the 95 percent confidence interval for the corresponding CDF
acor_ci_func	A function that returns the 95 percent confidence interval for the corresponding CDF
quantity	A matrix of the estimated heterogeneous quantities
acov_order	The order of autocovariance
acor_order	The order of autocorrelation
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::tojecdf(data = data, R = 50)

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