tojmoment: The TOJ bias-corrected estimation of the moments
Description
The `tojmoment()` function enables to implement the TOJ bias-corrected
estimation of the moments 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
tojmoment(data, acov_order = 0, acor_order = 1, R = 1000)
Value
A list that contains the following elements.
estimate
A vector of the parameter estimates
se
A vector of the standard errors
ci
A matrix of the 95 percent confidence intervals
quantity
A matrix of the estimated heterogeneous quantities
acov_order
The order of autocovariance
acor_order
The order of autocovariance
N
The number of cross-sectional units
S
The length of time series
R
The number of bootstrap repetitions
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.
References
Okui, R. and Yanagi, T., 2019.
Panel data analysis with heterogeneous dynamics.
Journal of Econometrics, 212(2), pp.451-475.