simulacorrection {DBfit} | R Documentation |

## Work Horse Function to Implement the Double Bootstrap Method For .99 Cases

### Description

When function `simula`

returns an estimate of rho to be .99, this function kicks in and ouputs a corrected estimate of rho. Currently, this only works for order 1, i.e. for order > 1, this correction will not get involved.

### Usage

```
simulacorrection(x, y, arp, nbs, nbscov, method, scores)
```

### Arguments

`x` |
the design matrix, including intercept, i.e. the first column being ones. |

`y` |
the response variable. |

`arp` |
the order of autoregressive errors. |

`nbs` |
the bootstrap size for the first bootstrap procedure. Default is 500. |

`nbscov` |
the bootstrap size for the second bootstrap procedure. Default is 500. |

`method` |
the method to be used for fitting. If "OLS", uses the ordinary least square |

`scores` |
Default is Wilcoxon scores |

### Details

If 0.99 problem is detected, then construct Fisher CI for both initial estimate (in Durbin stage 1) and first bias-corrected estimate (perform only one bootstrap, instead of a loop); if the midpoint of latter is smaller than 0.95, then this midpoint is the final estimate for rho; otherwise the midpoint of the former CI is the final estimate.

By default, when function `simula`

returns an estimate of rho to be .99, this function kicks in and ouputs a corrected estimate of rho. However, users can turn the auto correction off by setting correction="FALSE" in `dbfit`

. Users are encouraged to investigate why the stationarity assumption is violated based on their experience of time series analysis and knowledge of the data.

### Note

Users should use `dbfit`

to perform the analysis.

### References

Shaofeng Zhang (2017). Ph.D. Dissertation.

### See Also

*DBfit*version 2.0 Index]