A Double Bootstrap Method for Analyzing Linear Models with Autoregressive Errors
First Boostrap Procedure For parameter estimations
First Boostrap Procedure For parameter estimations
A Double Bootstrap Method for Analyzing Linear Models With Autoregress...
The main function for the double bootstrap method
Durbin stage 1 fit
Creating New X and Y for Durbin Stage 1
Durbin stage 2 fit
QR decomposition for non-full rank design matrix for Rfit.
the Two-Phase Design Matrix
K-Phase Design Matrix
General Linear Tests of the regression coefficients
Lag Functions
Creating a new response variable for Durbin stage 2
DBfit Internal Print Functions
A fisher type CI of the autoregressive parameter rho
Simulation Data Generating Function
Work Horse Function to implement the Double Bootstrap method
Work Horse Function to Implement the Double Bootstrap Method For .99 C...
Summarize the double bootstrap (DB) fit
Creating a new design matrix for Durbin stage 2
Computes the double bootstrap as discussed in McKnight, McKean, and Huitema (2000) <doi:10.1037/1082-989X.5.1.87>. The double bootstrap method provides a better fit for a linear model with autoregressive errors than ARIMA when the sample size is small.