durbin2fit {DBfit}

Durbin stage 2 fit

Description

Function implements the Durbin stage 1 fit

Usage

durbin2fit(yc, xc, adjphi, method, scores)

Arguments

yc

a transformed reponse variable

xc

a transformed design matrix

adjphi

the Durbin stage 1 estimate(s) of the autoregressive parameters rho

method

the method to be used for fitting. If "OLS", uses the ordinary least square; If "RANK", uses the rank-based fit.

scores

Default is Wilcoxon scores

Value

beta

the estimates of regression coefficients

sigma

the estimate of standard deviation of the white noise

Note

This function is for internal use. The main function for users is dbfit.

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.