The naive estimation of the moments
nemoment.RdThe `nemoment()` function enables to implement the naive 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")`.
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.
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
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::nemoment(data = data)
#> $estimate
#> E(mean) E(acov) E(acor) var(mean) var(acov)
#> 0.02773033 0.36672021 0.23542132 0.94487588 0.05446876
#> var(acor) cor(mean, acov) cor(mean, acor) cor(acov, acor)
#> 0.03942097 -0.04080153 0.06470255 -0.40705653
#>
#> $se
#> E(mean) E(acov) E(acor) var(mean) var(acov)
#> 0.057879139 0.013972353 0.011460515 0.082897878 0.008345571
#> var(acor) cor(mean, acov) cor(mean, acor) cor(acov, acor)
#> 0.002913500 0.053104173 0.056285350 0.040293749
#>
#> $ci
#> 95% CI lower 95% CI upper
#> E(mean) -0.07822877 0.14942051
#> E(acov) 0.34123733 0.39595060
#> E(acor) 0.21236814 0.25647109
#> var(mean) 0.79403120 1.10676591
#> var(acov) 0.03964418 0.07175545
#> var(acor) 0.03382352 0.04509123
#> cor(mean, acov) -0.15327752 0.05612278
#> cor(mean, acor) -0.04924577 0.16870097
#> cor(acov, acor) -0.47899350 -0.32566513
#>
#> $quantity
#> mean autocovariance autocorrelation
#> [1,] 0.129103585 0.44981269 0.088569728
#> [2,] -0.769100789 0.25327651 0.261659340
#> [3,] 1.256193088 0.08541086 0.232608313
#> [4,] 0.320570669 0.34035575 0.150068074
#> [5,] 0.327741445 0.29705207 0.189273459
#> [6,] 0.211282373 0.42263921 0.123911598
#> [7,] -0.728331222 0.27027640 0.471899236
#> [8,] 1.161347614 0.25532745 0.168879550
#> [9,] -0.112372010 0.30824637 0.188582226
#> [10,] -1.532125225 0.20866796 0.369540592
#> [11,] -0.809799547 0.24574260 0.054639474
#> [12,] -0.228909439 0.11748945 0.387964528
#> [13,] -0.783950671 0.62023360 -0.026157118
#> [14,] 0.159091508 0.20204247 0.414695420
#> [15,] 0.332041836 0.30566147 -0.084128041
#> [16,] -1.401101666 0.74312073 0.188396241
#> [17,] -1.650543016 0.14205092 0.519413934
#> [18,] -2.175166579 0.18650044 0.279772032
#> [19,] -0.370552812 0.22653352 0.421707785
#> [20,] -0.547767335 0.12946241 0.386338144
#> [21,] 1.690999620 0.43944619 0.458994415
#> [22,] -0.417880748 0.23126249 0.029760743
#> [23,] -1.088096076 0.55722704 0.220350644
#> [24,] 1.984270543 0.89021558 0.064993255
#> [25,] 0.067471613 0.42808510 0.095378056
#> [26,] -0.106417390 0.17565276 0.064472134
#> [27,] -1.107248770 0.58076366 0.223904848
#> [28,] -1.704916495 0.34739071 0.229253441
#> [29,] -0.493081439 0.45527890 0.240021703
#> [30,] -1.324837524 0.37204072 0.363148900
#> [31,] -0.285528357 0.37573017 0.337438324
#> [32,] 1.088001546 0.72802652 -0.036273213
#> [33,] 0.975654634 0.46409385 0.337415859
#> [34,] 0.329830464 0.15637403 0.331447999
#> [35,] 1.431816726 0.18028910 0.272430679
#> [36,] -0.705330285 1.01161580 0.252775975
#> [37,] 0.291013776 0.55194056 0.223000421
#> [38,] 0.130555568 0.45808774 0.336102009
#> [39,] 0.729997819 0.14328970 0.560392205
#> [40,] -0.563916213 0.15555760 0.454186942
#> [41,] 0.854285966 0.11346312 0.470593278
#> [42,] 0.475819161 0.09775463 0.506195801
#> [43,] -1.206969989 0.36876215 0.185233436
#> [44,] -0.518140963 0.35490653 0.125965218
#> [45,] 1.001665324 0.16874554 0.673182784
#> [46,] -0.473754617 0.31903579 0.040780139
#> [47,] 0.653560742 0.08962631 0.624914410
#> [48,] 0.469433327 0.46415471 0.007954846
#> [49,] 0.634882173 0.68760373 0.094244776
#> [50,] -1.656325898 0.25292624 0.166145633
#> [51,] 1.554918199 0.28764173 0.222454937
#> [52,] 0.248655915 0.21772968 0.045857789
#> [53,] -0.330936033 0.31646826 0.169054372
#> [54,] 0.394291023 0.45075805 0.324877309
#> [55,] 1.718090015 0.14828846 0.042081296
#> [56,] 0.034779123 0.10810281 0.644267239
#> [57,] -0.386736005 0.30369162 0.506938894
#> [58,] 0.110323498 0.22483953 0.410495321
#> [59,] 0.620819881 0.29626735 0.182053652
#> [60,] 0.830726348 0.18365290 0.298783262
#> [61,] -0.696815562 0.11955271 0.404045314
#> [62,] 0.657144671 0.17184901 0.258329498
#> [63,] -1.139004720 0.33766952 -0.162444909
#> [64,] -0.634410131 0.18618572 0.336113876
#> [65,] -0.120427021 0.86112603 -0.112511101
#> [66,] -0.333319780 0.24378031 0.449428796
#> [67,] 0.599252976 0.21507386 0.529342020
#> [68,] 0.608021246 0.16423324 0.482022664
#> [69,] 0.919670087 0.35429678 0.374054760
#> [70,] -0.523293160 0.53132858 -0.068048358
#> [71,] -0.244998605 0.31318344 0.258225417
#> [72,] 0.458538753 0.29789006 0.058580498
#> [73,] 0.694034274 0.95610171 0.075631580
#> [74,] -0.927666219 0.31824512 0.420074433
#> [75,] -0.343739937 0.30717035 0.263089073
#> [76,] -0.970955546 0.30445280 0.111729379
#> [77,] 0.054110060 0.17533872 0.561270449
#> [78,] -0.821983893 0.40115154 0.103378077
#> [79,] -0.015366297 0.35207877 0.057625359
#> [80,] -0.578295817 0.28816749 0.444750606
#> [81,] 0.788462121 0.16516949 0.253915923
#> [82,] 2.324892095 0.25870868 0.248399179
#> [83,] -0.447303561 0.34081585 0.140648370
#> [84,] 0.185395919 0.29067626 -0.094569524
#> [85,] 0.152857818 0.42663937 0.185284416
#> [86,] -0.722390858 0.54420647 0.126789963
#> [87,] 0.864451430 0.26785808 0.404582587
#> [88,] 1.750918470 0.15387377 0.003242460
#> [89,] -0.003735891 0.73601123 0.276217195
#> [90,] 1.255579182 0.65350140 0.063637164
#> [91,] -1.136153858 0.37407877 0.334411364
#> [92,] 0.519660227 0.61142264 0.185261295
#> [93,] -0.251422819 0.38675749 0.080095117
#> [94,] 0.088545810 0.55971921 0.062630178
#> [95,] 0.067840014 0.41829505 0.228183654
#> [96,] 0.799201266 0.65926460 0.107600519
#> [97,] -0.948302280 0.69520189 0.220491737
#> [98,] 1.727085673 0.14995117 0.593134813
#> [99,] 1.056882006 0.49706158 0.214046597
#> [100,] 1.776487123 0.33667074 0.192744438
#> [101,] 0.275426152 0.16098714 0.196910582
#> [102,] -1.081438910 0.11772387 0.631827901
#> [103,] 0.299811691 0.66325185 0.154822180
#> [104,] -0.335074123 0.44255162 0.038848950
#> [105,] -0.343959875 0.36381385 0.323854858
#> [106,] 2.282295795 0.23294301 0.059983452
#> [107,] 0.527501405 0.48098337 0.213295424
#> [108,] 0.924563531 0.42813999 0.342286928
#> [109,] 0.073428195 1.79661732 -0.168112310
#> [110,] -0.178633417 0.78956668 0.087514779
#> [111,] 0.749504561 0.20820979 0.407953827
#> [112,] -2.013606882 0.24385724 0.119385893
#> [113,] 2.761607959 0.48243221 0.232580583
#> [114,] 0.487197086 0.71946205 0.056358904
#> [115,] 0.655818526 0.52785804 -0.088006423
#> [116,] 1.112314142 0.46583087 0.109174784
#> [117,] -0.692166154 0.48280475 0.439893884
#> [118,] -0.858039304 0.26026784 0.627068365
#> [119,] -0.508923251 0.09319110 0.594318755
#> [120,] -0.469293305 0.13403019 0.469506997
#> [121,] 0.181067355 0.49574721 0.186819534
#> [122,] 0.377810037 0.20782062 0.099486436
#> [123,] -0.277774856 0.25821349 0.506514677
#> [124,] -0.335686949 1.09024207 0.176720873
#> [125,] 0.672968923 0.44760372 -0.015043833
#> [126,] -2.260027815 0.09200335 0.295649899
#> [127,] -0.625353381 0.45469168 0.479630102
#> [128,] 1.316080120 0.21559915 0.464307143
#> [129,] 2.367897186 0.12096016 0.362262131
#> [130,] -0.209504554 0.38534974 0.096769636
#> [131,] -0.823988533 0.16164708 0.194652370
#> [132,] -1.636571130 0.58560230 0.255129277
#> [133,] -2.347788524 0.43336525 0.059779763
#> [134,] 0.540247938 0.77046371 0.006879617
#> [135,] 0.006819186 0.23730431 0.088233032
#> [136,] 1.272162660 0.76619358 0.227938925
#> [137,] 0.237301460 0.45956148 0.202670732
#> [138,] 0.633664595 0.16582878 0.209609706
#> [139,] 0.083702002 1.24277959 -0.015248085
#> [140,] -0.181020357 0.17220739 0.317842243
#> [141,] -0.452403128 0.23731802 0.182409780
#> [142,] 1.326888745 0.46464556 0.241968617
#> [143,] -1.761706288 0.36777106 0.293673232
#> [144,] -0.648697022 0.32752068 0.313797178
#> [145,] -0.324535279 0.24727381 0.552433310
#> [146,] 1.134678480 0.63088455 0.201313373
#> [147,] 1.059977316 0.51230648 0.097795055
#> [148,] 0.494124940 0.43063542 0.100743426
#> [149,] 0.196087195 0.55868468 0.479842721
#> [150,] 0.741299118 0.18023752 0.069300700
#> [151,] 1.334556224 0.23501686 0.070754967
#> [152,] 0.172934987 0.80132387 0.105955505
#> [153,] 2.550046794 0.32347831 0.586575191
#> [154,] -0.054273323 0.64304533 0.175915081
#> [155,] 0.424726276 0.37225593 0.056998929
#> [156,] 0.425758524 0.13509575 0.675824237
#> [157,] -0.285114396 0.16415728 0.631524420
#> [158,] 0.789432522 0.11197017 0.053337962
#> [159,] 1.289014085 0.94926124 0.194619664
#> [160,] -2.249936832 0.63802876 0.341733512
#> [161,] 0.573994304 0.42914607 0.260923460
#> [162,] 0.239331010 0.25182879 0.332996291
#> [163,] -1.334343800 0.22375299 0.247457481
#> [164,] 1.570077728 0.17759908 0.285208488
#> [165,] -0.125338584 0.12950417 0.302973053
#> [166,] -0.419578000 0.89287129 0.354520303
#> [167,] 0.581505371 0.27865532 -0.009966739
#> [168,] -1.135884786 0.39596045 0.047802958
#> [169,] 0.389531809 0.11072973 0.291564091
#> [170,] -0.093757539 0.19323192 0.470736385
#> [171,] 0.094775639 0.38368244 -0.014230593
#> [172,] -0.657832071 0.17692146 0.202142152
#> [173,] 0.029590370 0.25523816 0.397063672
#> [174,] 0.589414638 0.23267980 0.340014888
#> [175,] -0.425202218 0.22172242 0.165702939
#> [176,] 0.732120686 0.19174492 0.237335737
#> [177,] -0.597656700 0.41790424 0.169091955
#> [178,] 0.410868642 0.89606628 0.331632181
#> [179,] 0.543426184 0.28755318 -0.079462621
#> [180,] -1.817195828 0.59531670 0.372668885
#> [181,] 1.867689960 0.57380858 0.255800478
#> [182,] -3.083404293 0.50639230 -0.013129208
#> [183,] 0.452099019 0.71377467 0.020228966
#> [184,] -0.991587227 0.41275142 -0.061266964
#> [185,] -1.756972309 0.25592712 0.055954754
#> [186,] 0.484733700 0.23642264 0.327215427
#> [187,] 0.473225264 0.45543455 -0.011180497
#> [188,] -0.318914788 0.24207096 0.124981910
#> [189,] -0.558654280 0.25664130 0.285230615
#> [190,] 1.097663427 0.74277990 0.238562179
#> [191,] -0.492733130 0.40849650 0.146767799
#> [192,] -0.790618115 0.46640129 0.331078887
#> [193,] -0.127484559 0.18339500 0.358264367
#> [194,] 0.243074763 0.65984614 0.153057096
#> [195,] -0.375083204 0.10329278 0.003740640
#> [196,] 0.611572103 0.18937554 0.802291057
#> [197,] -2.001491743 0.31024684 -0.044840669
#> [198,] -0.548088180 0.16864478 0.518162240
#> [199,] 1.406556812 0.29467598 0.597603543
#> [200,] -1.066351420 0.29455194 -0.015187530
#> [201,] -1.279610540 0.37787453 -0.148776549
#> [202,] -0.877944316 0.26749964 0.114292084
#> [203,] 0.133891240 0.76041518 0.087538309
#> [204,] 0.944227371 0.28564997 0.464471415
#> [205,] 0.215810152 0.48948712 0.342391788
#> [206,] -0.594108408 0.15867750 0.429177636
#> [207,] 0.474721370 0.20198398 0.373968824
#> [208,] 0.286570258 0.18902179 0.115223554
#> [209,] -0.413786835 0.29105890 0.082696838
#> [210,] -0.930927118 0.07486284 0.614999412
#> [211,] -0.468522158 0.03364258 0.458216433
#> [212,] -0.339106326 0.26157421 0.356095619
#> [213,] 0.109402188 0.32676737 0.298207590
#> [214,] 1.739794486 0.30170552 0.094339562
#> [215,] -0.408103637 0.39280197 0.256184530
#> [216,] -1.503514625 0.27791637 0.434343433
#> [217,] 0.338281975 0.22486968 0.096973467
#> [218,] -0.932899527 0.42703290 -0.035791549
#> [219,] -1.385137472 0.68122927 0.353099346
#> [220,] 0.839021468 0.12179593 0.726697313
#> [221,] -0.447571316 0.10847701 0.285639956
#> [222,] -1.271937348 0.34595852 -0.145907357
#> [223,] 0.942638366 0.14486445 -0.067260613
#> [224,] 0.101322160 0.26324980 0.229939737
#> [225,] -1.133663951 0.11422629 0.445553064
#> [226,] 0.546540962 0.43308986 0.338110476
#> [227,] -1.008938215 0.91424574 0.005619856
#> [228,] -0.202384375 0.70087901 -0.134201469
#> [229,] 0.663590305 0.09253755 0.304358909
#> [230,] -1.260935451 0.37376134 0.287858570
#> [231,] 0.364671212 0.33990708 0.258458941
#> [232,] 0.749543376 0.40255173 0.447046368
#> [233,] -1.311997371 0.24166674 0.349430155
#> [234,] 0.619629419 0.22426897 0.170279468
#> [235,] 0.030312874 0.43044844 0.061258391
#> [236,] -0.098089618 0.56789487 0.411885651
#> [237,] 0.733107081 0.13725038 0.330142524
#> [238,] 0.046300953 0.22620430 0.498905859
#> [239,] -1.344305657 0.51802907 0.171397995
#> [240,] -1.101864606 0.23188450 0.230346918
#> [241,] 0.712626849 0.28028670 0.644853042
#> [242,] -1.461997463 0.49624217 -0.064423384
#> [243,] -0.936124928 0.30612974 0.288453415
#> [244,] 0.789384674 0.25761077 0.362036207
#> [245,] 2.144243897 0.09466908 0.249224299
#> [246,] -0.980934640 0.48840426 0.205903322
#> [247,] 0.233104566 0.37533291 -0.174272683
#> [248,] 0.849610765 0.43983410 0.215728313
#> [249,] 0.220009759 0.21134338 0.034917950
#> [250,] 0.347673773 0.08775809 0.502113255
#> [251,] 1.066586659 0.24719660 0.424530500
#> [252,] 0.812185798 0.15404680 0.312761766
#> [253,] 0.458356422 0.98050253 0.124591504
#> [254,] -0.386501887 0.14385969 0.343683383
#> [255,] 0.426149982 0.35897763 0.098146681
#> [256,] 0.140341756 0.18182648 0.323435743
#> [257,] -1.173993765 0.23134375 0.206310229
#> [258,] 0.138955777 0.27250235 0.136909180
#> [259,] -1.606223571 0.39785279 0.038942218
#> [260,] 0.194719791 0.96299924 0.082327836
#> [261,] 1.668079317 0.39266550 0.006908224
#> [262,] 0.880172426 0.41427199 -0.260626310
#> [263,] 1.749265303 0.45611225 -0.179602483
#> [264,] 1.101300104 0.11533019 0.535142019
#> [265,] 0.654596098 0.30676187 0.575647087
#> [266,] -2.697186716 0.55805027 0.395179485
#> [267,] -0.559115016 0.46224953 0.153446891
#> [268,] -1.460337920 1.02931090 -0.290007208
#> [269,] 0.538970459 0.18005760 0.486880720
#> [270,] -0.540981445 0.36525493 0.007847028
#> [271,] -0.599050450 0.21939588 0.270827291
#> [272,] -0.975188333 0.35726477 -0.024927826
#> [273,] -0.131410720 0.13339424 0.304332915
#> [274,] 0.225233058 0.16199264 0.134308406
#> [275,] 0.610306026 0.18053608 0.424802732
#> [276,] 0.267987628 0.37238944 0.155044618
#> [277,] 0.648769841 0.37134818 0.181694764
#> [278,] 0.790556213 0.20162933 0.545107421
#> [279,] 0.385256354 0.34205643 0.257245322
#> [280,] 0.739263138 0.47595107 0.393592703
#> [281,] 0.519273947 0.24052656 0.326106715
#> [282,] 0.201219499 1.08511952 0.133774419
#> [283,] -0.245457078 0.37529931 0.572952873
#> [284,] 0.889911278 0.36090001 -0.129165229
#> [285,] 1.146618624 0.57609614 0.114066302
#> [286,] -1.665418803 0.23460354 0.305609554
#> [287,] 0.667078576 0.38262739 -0.034391240
#> [288,] 0.377713209 0.33093261 0.343325670
#> [289,] 0.036960378 0.09092704 0.492342800
#> [290,] 2.630737031 0.14204965 0.322558809
#> [291,] -0.632910376 0.10065942 0.240527487
#> [292,] -1.095977129 0.50537457 -0.092194041
#> [293,] -0.160720726 0.25361076 0.325667862
#> [294,] -0.103478542 0.42358984 0.030999215
#> [295,] 0.712385986 0.33154299 0.603095276
#> [296,] -0.795629068 0.74414311 -0.059039356
#> [297,] -0.683787016 0.11287672 0.397514618
#> [298,] 0.929793495 0.16419301 0.210168265
#> [299,] 0.249405823 0.16576636 0.191025166
#> [300,] 0.767572080 0.57611202 0.392781995
#>
#> $acov_order
#> [1] 0
#>
#> $acor_order
#> [1] 1
#>
#> $N
#> [1] 300
#>
#> $S
#> [1] 50
#>
#> $R
#> [1] 1000
#>