QregBB (version 1.0.0)

QregBB-package: QregBB

Description

QregBB

Details

Implements moving-blocks bootstrap and extended tapered-blocks bootstrap, as well as smooth versions of each, for quantile regression in time series. This package accompanies Gregory et al. (2018). QregBB QregBB The main function is the QregBB function, which implements the moving-blocks bootstrap (MBB), the extended tapered-blocks bootstrap (ETBB), and smooth versions of each (SMBB, SETBB). The function getNPPIblksizesQR chooses the block size based on the non-parametric plug-in method described in Lahiri (2013). For the smooth methods, the bandwidth is chosen by using the function bw.SJ function on the fitted residuals; then the bandwidth matrix is the identity matrix times the value returned by bw.SJ.

References

Gregory, K. B., Lahiri, S. N., & Nordman, D. J. (2018). A smooth block bootstrap for quantile regression with time series. The Annals of Statistics, 46(3), 1138-1166.

Lahiri, S. N. (2013). Resampling methods for dependent data. Springer Science & Business Media.

Examples

# NOT RUN {
n <- 100
X1 <- arima.sim(model=list(ar=c(.7,.1)),n)
X2 <- arima.sim(model=list(ar=c(.2,.1)),n)
e <- arima.sim(model=list(ar=c(.7,.1)),n)
Y <- X1 + e
X <- cbind(rep(1,n),X1,X2)

QregBB.out <- QregBB(Y,X,tau=.5,l=4,B=500,h=NULL,alpha=0.05)
QregBB.out

# }