The naive empirical CDF estimation without bias correction
neecdf.RdThe `neecdf()` function enables to implement the naive 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")`.
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::neecdf(data = data, R = 50)
#> $mean
#>
#> $acov
#>
#> $acor
#>
#> $mean_func
#> function (x)
#> {
#> ecdfest(x = x, X = mean_est)
#> }
#> <bytecode: 0x56308f4fa260>
#> <environment: 0x56308f4faf10>
#>
#> $acov_func
#> function (x)
#> {
#> ecdfest(x = x, X = acov_est)
#> }
#> <bytecode: 0x56308f4fa500>
#> <environment: 0x56308f4faf10>
#>
#> $acor_func
#> function (x)
#> {
#> ecdfest(x = x, X = acor_est)
#> }
#> <bytecode: 0x56308f4fa7a0>
#> <environment: 0x56308f4faf10>
#>
#> $mean_ci_func
#> function (x)
#> {
#> args <- lapply(as.list(match.call())[-1L], eval, parent.frame())
#> names <- if (is.null(names(args)))
#> character(length(args))
#> else names(args)
#> dovec <- names %in% vectorize.args
#> do.call("mapply", c(FUN = FUN, args[dovec], MoreArgs = list(args[!dovec]),
#> SIMPLIFY = SIMPLIFY, USE.NAMES = USE.NAMES))
#> }
#> <environment: 0x56308ee14208>
#>
#> $acov_ci_func
#> function (x)
#> {
#> args <- lapply(as.list(match.call())[-1L], eval, parent.frame())
#> names <- if (is.null(names(args)))
#> character(length(args))
#> else names(args)
#> dovec <- names %in% vectorize.args
#> do.call("mapply", c(FUN = FUN, args[dovec], MoreArgs = list(args[!dovec]),
#> SIMPLIFY = SIMPLIFY, USE.NAMES = USE.NAMES))
#> }
#> <environment: 0x56308ee0c8d0>
#>
#> $acor_ci_func
#> function (x)
#> {
#> args <- lapply(as.list(match.call())[-1L], eval, parent.frame())
#> names <- if (is.null(names(args)))
#> character(length(args))
#> else names(args)
#> dovec <- names %in% vectorize.args
#> do.call("mapply", c(FUN = FUN, args[dovec], MoreArgs = list(args[!dovec]),
#> SIMPLIFY = SIMPLIFY, USE.NAMES = USE.NAMES))
#> }
#> <environment: 0x56308ee05e68>
#>
#> $quantity
#> mean autocovariance autocorrelation
#> [1,] 0.796661430 1.23206480 0.1854803763
#> [2,] 0.699254422 1.57847573 -0.0607565917
#> [3,] 0.987663683 0.38189181 0.2992817492
#> [4,] -0.210890385 0.67500096 0.1701693971
#> [5,] -0.584719784 0.18026581 0.3120747984
#> [6,] 0.184464566 0.25963899 0.1225625404
#> [7,] 0.331575289 0.20114001 0.0988132051
#> [8,] -1.633438296 0.27068129 0.2561380872
#> [9,] 1.405913010 0.91681446 0.1272054662
#> [10,] -0.770957652 0.74988551 -0.0936286625
#> [11,] -1.097408637 0.50700916 0.1955226362
#> [12,] 0.216804036 0.26406762 0.1474422767
#> [13,] -0.472553052 0.33942898 0.0921264929
#> [14,] -0.711413875 0.31968645 0.2993077808
#> [15,] 0.278931336 0.11908503 0.7025123784
#> [16,] -1.680996572 0.21538438 0.2865247758
#> [17,] 0.034923199 0.45466853 0.3821059878
#> [18,] -0.280490210 0.20845675 0.0500947461
#> [19,] 1.475642596 0.40192994 0.0136060880
#> [20,] -1.814054638 0.24674921 0.2690250230
#> [21,] 0.038083508 0.38969747 -0.2145734551
#> [22,] 0.378789881 0.39358756 0.2459068036
#> [23,] -2.636596748 0.11491909 0.1116624693
#> [24,] -1.447133842 0.30055871 0.1706793691
#> [25,] -0.708203114 0.70664506 -0.0274119183
#> [26,] -0.438211326 0.55738953 0.2471014244
#> [27,] 0.808219519 0.16296926 0.3500593838
#> [28,] 0.505894719 0.85138762 0.3606926006
#> [29,] -1.222507489 0.30518068 0.4899290193
#> [30,] -0.554653244 0.27859375 0.1921147958
#> [31,] -0.370511216 0.31995910 0.5095993694
#> [32,] 2.598221486 0.26111561 0.5159197474
#> [33,] -2.401668603 0.51317378 0.0694247945
#> [34,] 0.658325856 0.49580429 0.3690131395
#> [35,] 0.261454382 0.93173515 -0.0410053022
#> [36,] -0.353156775 1.06294451 -0.0878148764
#> [37,] 0.164838756 0.24893963 0.2006146118
#> [38,] -0.863844986 0.25082936 0.1428119237
#> [39,] 0.548845110 0.25560025 0.2251950853
#> [40,] 0.202911670 0.18868088 0.1346885085
#> [41,] 0.293991518 0.13097729 0.4880339322
#> [42,] -0.355220135 0.24304832 0.2961024934
#> [43,] 1.173168254 0.17999638 0.6129406722
#> [44,] -0.552777692 0.50062560 0.3271371010
#> [45,] -0.988649786 0.39507983 0.2787228339
#> [46,] 1.220611043 0.18360172 0.2330687287
#> [47,] 1.467289672 0.79610396 -0.0423172403
#> [48,] 0.886490881 0.25037448 0.1478153583
#> [49,] 1.320006090 0.58283853 0.0515908860
#> [50,] -0.678295754 0.38964960 0.3715482625
#> [51,] -1.607617229 0.09925485 0.4071939056
#> [52,] 1.655711343 0.59692398 0.2056142885
#> [53,] -0.009527425 0.12678968 0.5497267255
#> [54,] 0.976128485 0.22999903 0.1865988723
#> [55,] 0.608351176 0.33557804 0.2710244430
#> [56,] -0.282875270 0.17724273 0.6152150102
#> [57,] -2.400537320 1.83689841 -0.0287697502
#> [58,] -0.226512797 0.38078772 0.3940380833
#> [59,] -0.540361175 0.52349709 0.2883917360
#> [60,] -1.069434290 0.30774110 0.1568681144
#> [61,] -0.123247861 0.45844689 0.2302569593
#> [62,] 1.413553185 0.07888666 0.6610657807
#> [63,] -0.213896640 0.46713869 0.3253258228
#> [64,] -2.206746206 0.44345836 0.1330593237
#> [65,] -0.435016102 0.43085829 -0.1660969215
#> [66,] -0.830175175 0.81841786 0.0742379210
#> [67,] 0.704577816 0.51327329 0.4332513071
#> [68,] -1.881096239 0.23238251 0.2955608831
#> [69,] 0.843283260 0.57558894 0.3271188491
#> [70,] 0.538372123 0.61300912 0.2457736809
#> [71,] 0.585443745 0.92654117 0.4181486485
#> [72,] -1.051047273 0.21225357 0.2076502146
#> [73,] 0.275939731 0.81126636 0.2749839155
#> [74,] 0.822336284 0.14353161 0.4869669123
#> [75,] 1.517665066 0.26503287 0.4508192953
#> [76,] -0.298552782 0.28592359 0.6869173320
#> [77,] -1.126444980 0.17901073 0.4054929179
#> [78,] 1.513611640 1.11434973 -0.0081114523
#> [79,] -1.316620641 0.33194117 0.0091208701
#> [80,] -1.678510951 0.10160198 0.3536082842
#> [81,] 0.449196076 0.22924573 0.4095902067
#> [82,] 0.146453340 0.33799577 0.6232106712
#> [83,] 1.812092704 0.45491528 0.0629663439
#> [84,] -0.586964360 0.53581475 0.2708955928
#> [85,] -1.836018005 0.37369639 0.4011315279
#> [86,] 0.569819014 0.37927856 0.1356733677
#> [87,] 0.803178900 0.27601664 0.4174030954
#> [88,] -1.049276643 0.22677576 0.4148772861
#> [89,] 1.201387280 0.40010617 0.1430392037
#> [90,] 0.761635621 0.20064533 0.1444755424
#> [91,] -0.393495562 0.39311436 0.1811395411
#> [92,] 0.326901617 0.16613577 0.3400869205
#> [93,] -0.637939788 0.23872045 0.6925648202
#> [94,] -0.264145998 0.27075569 0.2953341001
#> [95,] -1.925837806 0.36552198 -0.0732416807
#> [96,] -0.862258272 0.35652849 0.2949490215
#> [97,] 0.005071905 0.22354457 0.1333668865
#> [98,] 1.131420150 0.42260699 0.3222653255
#> [99,] -0.103163772 0.16942791 0.5606350462
#> [100,] -0.328430297 0.34360053 0.3555192732
#> [101,] 0.095924608 0.73061230 0.1585397593
#> [102,] -1.280257342 0.33116365 0.0297005724
#> [103,] 1.094569772 0.20175459 0.4910003380
#> [104,] 0.861730409 0.31175784 0.2116838130
#> [105,] 0.404971015 0.15816356 0.2189222651
#> [106,] 1.449802704 0.37018693 -0.1148518834
#> [107,] -0.365213606 0.30366714 0.5650857983
#> [108,] 0.349132841 0.43155341 -0.0339822873
#> [109,] -1.595594200 0.21152359 0.0119419584
#> [110,] 0.438140503 0.41454642 0.4744229901
#> [111,] -1.104180447 0.42494152 0.3493972770
#> [112,] -0.074911110 0.34723112 0.4211696191
#> [113,] 0.146851854 0.30018857 0.4833618572
#> [114,] -0.624217924 0.37623819 -0.0724094036
#> [115,] -0.361434204 0.89706036 0.2038096074
#> [116,] -1.129892193 0.30867707 0.0285024994
#> [117,] 0.536845877 0.19361473 0.5949804322
#> [118,] -0.587858323 0.67847304 0.3338691908
#> [119,] -1.180711413 0.06992428 0.8004659482
#> [120,] 0.128111781 0.41670316 0.0061324105
#> [121,] 1.359296698 0.48911418 0.3572021398
#> [122,] 1.882973648 0.36937271 0.3783580127
#> [123,] 0.527195720 0.43432483 0.0536783353
#> [124,] 1.642616374 0.25643956 0.2459253771
#> [125,] -0.618364012 0.25019950 0.4205577042
#> [126,] -0.426987201 0.47554580 0.1765639935
#> [127,] 0.083115953 0.20980954 0.3603783653
#> [128,] 0.620395377 0.21929967 0.3552080094
#> [129,] -0.912396601 0.44673325 -0.1500344264
#> [130,] -0.471755100 0.61071261 0.1441149708
#> [131,] -0.347430299 0.43117553 -0.0006354884
#> [132,] 0.376411053 0.20972459 0.1653168710
#> [133,] -2.594214992 0.23505154 0.6009587556
#> [134,] 0.429933775 0.74540876 0.3905340502
#> [135,] 2.209750331 0.13611418 0.3823583662
#> [136,] 1.605480953 0.41212454 0.3319560980
#> [137,] 0.219986835 0.18713411 0.4516187646
#> [138,] -1.256197125 0.24807088 0.1716549949
#> [139,] 1.209605081 0.30462521 0.5419632462
#> [140,] -0.166699401 0.43540666 0.2682630175
#> [141,] 0.156606631 0.68097104 -0.1063896595
#> [142,] -0.464947503 0.10165329 0.5657825597
#> [143,] -0.615733629 0.47392577 0.4390817122
#> [144,] 0.539571336 0.34187912 -0.0030412305
#> [145,] 0.485323337 0.17995650 0.1805292463
#> [146,] 0.540590522 0.52466884 0.2413573397
#> [147,] -0.960717864 0.30011124 0.2773588408
#> [148,] 0.885422954 0.10456308 0.3946239229
#> [149,] 1.335419036 0.16806215 0.3781854844
#> [150,] 0.387249263 0.52393835 0.0553624242
#> [151,] -0.942733420 0.46394525 0.0705724845
#> [152,] -1.416623391 0.11657361 0.4253209080
#> [153,] -0.562178560 0.27119082 0.6253414408
#> [154,] -1.607639920 0.41312407 0.3586235293
#> [155,] 0.289083724 0.26129948 0.1421255805
#> [156,] -1.874895642 0.58273857 0.3809612895
#> [157,] -0.709672603 0.18527586 0.2228398790
#> [158,] -0.511792085 0.53114968 -0.1448995175
#> [159,] -0.388006353 0.39453210 0.1759193316
#> [160,] -1.096121159 0.31589386 0.2117504635
#> [161,] -1.410462777 0.46727949 0.0980455568
#> [162,] 0.849967964 0.69903883 -0.1625374484
#> [163,] -0.715598585 0.21766821 0.2944180083
#> [164,] 0.789408703 0.61571370 0.2995901361
#> [165,] 1.057743659 0.21581688 0.0912524140
#> [166,] -1.496902266 0.25800087 0.3040098622
#> [167,] -0.385775837 0.25777291 0.2275936318
#> [168,] 0.503273342 0.22815594 0.0231374540
#> [169,] -0.468360186 0.34677331 0.2879697514
#> [170,] 1.198643388 1.22437969 0.1737449959
#> [171,] 1.348760049 0.30098886 0.3375922608
#> [172,] -1.092815163 0.78738780 0.0711066816
#> [173,] -0.936820203 0.26419023 0.2269062922
#> [174,] -0.081857862 0.19695077 0.0932582101
#> [175,] -1.326127333 0.95927229 -0.0055349332
#> [176,] -0.851690480 0.13279011 0.3462875863
#> [177,] 0.347109886 0.50550817 0.1467044351
#> [178,] 0.293319785 0.51456626 0.2308483583
#> [179,] 1.018864340 0.04795191 0.3604329738
#> [180,] 0.046258435 0.12712321 0.3881571904
#> [181,] -0.568408171 0.17313868 0.6379460698
#> [182,] -0.126553227 0.10652734 0.7978721630
#> [183,] -0.087384586 0.30790991 0.1441068113
#> [184,] -1.563958222 0.14338657 0.1492256953
#> [185,] 0.269935192 0.52598836 0.4053566499
#> [186,] -1.143247263 0.40118368 0.0238653521
#> [187,] 1.325786071 0.40409500 0.1616748999
#> [188,] -0.720359675 0.20023726 0.4138762224
#> [189,] -0.526312144 0.55519569 0.1940398419
#> [190,] -0.832345974 0.70891145 0.1286097195
#> [191,] -0.232329865 0.62773176 0.4766503729
#> [192,] -1.709279422 0.18896836 0.5055634368
#> [193,] 1.597785984 0.29754728 0.2819120876
#> [194,] 0.539792757 0.31679826 0.1504973986
#> [195,] 1.200621954 0.55409607 0.2005430826
#> [196,] 0.685846463 0.12004922 0.1322838507
#> [197,] -0.592353106 0.35782144 0.1694623011
#> [198,] -0.564953802 0.18057835 0.5136468330
#> [199,] -0.408656918 0.46128825 0.1560436160
#> [200,] 0.317919804 0.85629042 0.1390757655
#> [201,] 1.268774605 0.06726769 0.4895755381
#> [202,] 0.016360117 0.37855396 0.3428949045
#> [203,] 0.223134384 0.62007085 0.3008443718
#> [204,] 1.546856139 0.57437577 0.1092624160
#> [205,] 0.026213016 0.15870097 0.3312633758
#> [206,] 0.561982271 0.39367346 0.1536009135
#> [207,] -1.778593640 0.40579068 0.1705971141
#> [208,] 0.620504921 0.26252979 0.2018529128
#> [209,] 1.740462203 0.33861100 0.5924553702
#> [210,] -1.155213407 0.14079842 0.3441050286
#> [211,] -0.245850412 0.41351483 0.1375475660
#> [212,] 0.130920017 0.17954556 0.3539774386
#> [213,] -0.309503847 0.49041741 0.0747815766
#> [214,] -0.242984978 0.33916652 0.3744656759
#> [215,] -0.907533382 0.28389565 0.2381657873
#> [216,] 1.360483526 0.15791212 0.5877026399
#> [217,] 1.138813661 0.58626465 0.2023300174
#> [218,] -0.369037484 0.64096128 0.1749570071
#> [219,] 1.573512907 0.38871866 0.1108228111
#> [220,] -1.928189490 0.35834253 0.4154903122
#> [221,] 1.675916613 1.18670005 0.1127619656
#> [222,] -1.269376381 0.21317134 0.1959285113
#> [223,] -0.563903356 0.38625222 0.1629117460
#> [224,] 1.298908477 0.34557850 0.0737691403
#> [225,] -0.036893812 0.42248667 0.0589070786
#> [226,] -0.095554332 0.26024995 0.4184188539
#> [227,] -0.903697382 0.52593862 0.3817709208
#> [228,] -0.345798813 0.30503128 0.1399239122
#> [229,] -2.217226492 0.36661481 0.2607339672
#> [230,] -1.365470096 0.28573429 0.6115914682
#> [231,] -0.460395556 0.30338465 0.4627609465
#> [232,] -0.413072692 0.38376203 0.4076918755
#> [233,] 0.275478323 0.38170707 -0.2669447463
#> [234,] -0.016136046 0.17724822 0.5161808561
#> [235,] -1.147488901 0.11819629 0.4436395268
#> [236,] -0.886591449 0.87962367 0.0144538502
#> [237,] -0.588264504 0.46796742 0.2153432612
#> [238,] -0.328902248 0.52582060 0.1737601136
#> [239,] 0.886548258 0.13996914 0.3408114326
#> [240,] -0.688792856 0.57805362 0.3164419346
#> [241,] 0.137632140 0.34400842 0.3245611105
#> [242,] 0.368174136 0.24350098 0.4572792637
#> [243,] 1.578342135 0.23456339 0.2278223628
#> [244,] -2.069089353 0.22736214 0.2444018871
#> [245,] 1.990446232 0.08426689 0.4736473150
#> [246,] 0.235061251 0.81052845 -0.0874861470
#> [247,] 0.074009264 0.35753340 0.1151411758
#> [248,] -1.185211243 0.49346226 0.3364926444
#> [249,] -0.711082256 0.41609411 -0.1321362105
#> [250,] 0.256708284 0.06911341 0.0989670494
#> [251,] 0.712762924 0.27080409 0.0309637193
#> [252,] -0.760826133 0.22948781 0.6375682454
#> [253,] 0.760415178 0.54656670 0.0615952878
#> [254,] -0.459911493 0.68907034 -0.0341262220
#> [255,] 0.144936202 0.55959715 -0.1829175581
#> [256,] -0.840018533 0.48087583 0.2879535708
#> [257,] -1.100900821 0.33787862 0.3194673202
#> [258,] -0.316636534 0.22993233 0.6470735259
#> [259,] -0.201295582 0.35584826 -0.0817343899
#> [260,] -0.414830295 0.65733609 0.4009144646
#> [261,] -2.400340039 0.12619125 0.6207894638
#> [262,] 1.428405361 0.10635474 0.1844981966
#> [263,] -1.131423822 0.67934504 0.2921149203
#> [264,] -1.436948387 0.32721222 0.3681692354
#> [265,] 1.499624271 0.48251466 0.2825705294
#> [266,] -0.962514821 0.14438067 0.3573330702
#> [267,] -1.400968521 0.12293987 0.5902194909
#> [268,] -2.169765584 0.55472451 -0.0842734051
#> [269,] -1.509639769 0.36107964 0.4509453912
#> [270,] 0.551242481 0.25394024 0.2593943197
#> [271,] 1.101910477 0.23409604 0.4062265901
#> [272,] -1.235922529 1.10281180 -0.1679916043
#> [273,] -1.925787344 0.28136438 0.4213112603
#> [274,] 2.091428838 0.28354705 0.0970194166
#> [275,] -1.663465175 0.80417381 0.1810478978
#> [276,] 0.415344107 0.59234547 0.2350529029
#> [277,] -1.970879762 0.31743891 -0.0033171758
#> [278,] -1.011085541 0.50852844 0.1903795695
#> [279,] 0.593217234 0.56142164 -0.0402055343
#> [280,] 0.771924791 0.45952841 0.1169243489
#> [281,] -0.080603976 0.35855566 -0.1305136057
#> [282,] -0.677792688 0.17558371 0.0301383064
#> [283,] 0.071142843 0.40205838 0.4666764239
#> [284,] -0.816197792 0.56658828 0.0830004809
#> [285,] -0.010250272 0.30182841 -0.0149689986
#> [286,] 0.006544054 0.67878319 0.3951593637
#> [287,] -0.590657705 0.51428911 0.3016494194
#> [288,] 0.192129272 0.30464117 0.5043960759
#> [289,] 0.645232491 0.30207111 0.5122290856
#> [290,] -2.726201234 0.25978197 0.0991252183
#> [291,] 0.255865973 0.16402244 0.3144438664
#> [292,] -1.550744425 0.22732273 0.1492405208
#> [293,] 0.269729869 0.19978703 0.8047533305
#> [294,] 1.078319440 0.36254818 0.0352276189
#> [295,] -2.046225300 0.17366326 0.2825260194
#> [296,] 1.027315337 0.12991365 0.5840793936
#> [297,] 0.122734332 0.46911409 0.1821583973
#> [298,] 0.760619871 0.20685310 0.5552861956
#> [299,] 0.300087784 0.55618383 0.0363933692
#> [300,] -1.533038101 0.51394490 0.2863257668
#>
#> $acov_order
#> [1] 0
#>
#> $acor_order
#> [1] 1
#>
#> $N
#> [1] 300
#>
#> $S
#> [1] 50
#>
#> $R
#> [1] 50
#>