boot.rqpd: Bootstrapping for Panel Data Quantile Regression

In rqpd: Regression Quantiles for Panel Data

Description

This function can be used to construct standard errors, t-statistics, and p-values for rqpd models.

Usage

boot.rqpd(ids, X, Z, y, panel, control, R = 200, bsmethod = "wxy", ...)

Arguments

ids	The ids defining the panel structure
X	The main part of the regression design matrix
Z	The augmented part of the design matrix.
y	The regression response vector
panel	The model configuration options.
control	Control argument for the fitting routines (see 'sfn.control').
R	The number of bootstrap replications
bsmethod	The method to be employed. There are (as yet) only one option: bsmethod = "wxy" that uses the generalized bootstrap of Bose and Chatterjee (2003) with unit exponential weights sampled for each individual rather than each observation, see also Chamberlain and Imbens (2003).
...	Optional arguments to control bootstrapping

Value

A matrix of dimension R by p is returned with the R bootstrap-estimates of the vector of quantile regression parameters.

Author(s)

Roger Koenker and Stefan Holst Bache

References

[1] Bose, A. and S. Chatterjee, (2003) Generalized bootstrap for estimators of minimizers of convex functions, J. Stat. Planning and Inf, 117, 225-239.

See Also

summary.rqpd

rqpd documentation built on May 2, 2019, 4:54 p.m.