durbin2fit {DBfit}

R Documentation

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.

---