durbin1xy {DBfit}

Creating New X and Y for Durbin Stage 1

Description

Functions provides the tranformed reponse variable and model matrix for Durbin stage 1 fit. For details of the transformation, see the reference.

Usage

durbin1xy(y, x, arp)

Arguments

y

the orginal response variable

x

the orginal design matrix with first column of all one's (corresponding to the intercept)

arp

the order of autoregressive errors.

References

McKnight, S. D., McKean, J. W., and Huitema, B. E. (2000). A double bootstrap method to analyze linear models with autoregressive error terms. Psychological methods, 5 (1), 87. Shaofeng Zhang (2017). Ph.D. Dissertation.