hpjecdf {panelhetero}R Documentation

The HPJ bias-corrected empirical CDF estimation

Description

The 'hpjecdf()' function enables to implement the HPJ bias-corrected estimation of the cumulative distribution function (CDF) of the heterogeneous mean, the heterogeneous autocovariance, and the heterogeneous autocorrelation. The method is developed by Okui and Yanagi (2019). For more details, see the package vignette with 'vignette("panelhetero")'.

Usage

hpjecdf(data, acov_order = 0, acor_order = 1, R = 1000, ci = TRUE)

Arguments

data

A matrix of panel data. Each row corresponds to individual time series.

acov_order

A non-negative integer of the order of autocovariance. Default is 0.

acor_order

A positive integer of the order of autocorrelation. Default is 1.

R

A positive integer of the number of bootstrap repetitions. Default is 1000.

ci

A logical whether to estimate the confidence interval. Default is TRUE.

Value

A list that contains the following elements.

mean

A plot of the corresponding CDF

acov

A plot of the corresponding CDF

acor

A plot of the corresponding CDF

mean_func

A function that returns the corresponding CDF

acov_func

A function that returns the corresponding CDF

acor_func

A function that returns the corresponding CDF

mean_ci_func

A function that returns the 95 percent confidence interval for the corresponding CDF

acov_ci_func

A function that returns the 95 percent confidence interval for the corresponding CDF

acor_ci_func

A function that returns the 95 percent confidence interval for the corresponding CDF

quantity

A matrix of the estimated heterogeneous quantities

acov_order

The order of autocovariance

acor_order

The order of autocorrelation

N

The number of cross-sectional units

S

The length of time series

R

The number of bootstrap repetitions

References

Okui, R. and Yanagi, T., 2019. Panel data analysis with heterogeneous dynamics. Journal of Econometrics, 212(2), pp.451-475.

Examples

data <- panelhetero::simulation(N = 300, S = 50)
panelhetero::hpjecdf(data = data, R = 50)


[Package panelhetero version 1.0.1 Index]