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Title:

Object-oriented Computation of Sandwich Estimators

Description:

Sandwich covariance matrix estimators are a popular tool in applied regression modeling for performing inference that is robust to certain types of model misspecification. Suitable implementations are available in the R system for statistical computing for certain model fitting functions only (in particular lm()), but not for other standard regr...

Sandwich covariance matrix estimators are a popular tool in applied regression modeling for performing inference that is robust to certain types of model misspecification. Suitable implementations are available in the R system for statistical computing for certain model fitting functions only (in particular lm()), but not for other standard regression functions, such as glm(), nls(), or survreg(). Therefore, conceptual tools and their translation to computational tools in the package sandwich are discussed, enabling the computation of sandwich estimators in general parametric models. Object orientation can be achieved by providing a few extractor functionsmost importantly for the empirical estimating functionsfrom which various types of sandwich estimators can be computed. Minimize

Publisher:

University of California at Los Angeles, Department of Statistics

Year of Publication:

2006-08-01T00:00:00Z

Source:

Journal of Statistical Software, Vol 16, Iss 9 (2006)

Journal of Statistical Software, Vol 16, Iss 9 (2006) Minimize

Document Type:

article

Language:

English

Subjects:

covariance matrix estimators ; estimating functions ; object orientation ; R ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Soci...

covariance matrix estimators ; estimating functions ; object orientation ; R ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

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310 Collections of general statistics *(computed)*

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http://www.jstatsoft.org/v16/i09/paper

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Title:

Econometric Computing with HC and HAC Covariance Matrix Estimators

Publisher:

University of California at Los Angeles, Department of Statistics

Year of Publication:

2004-01-01T00:00:00Z

Document Type:

article

Language:

English

Subjects:

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

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http://www.jstatsoft.org/v11/i10/paper

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Title:

Alternative boundaries for CUSUM tests

Description:

CUSUM test, structural change

CUSUM test, structural change Minimize

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Title:

A Unified Approach to Structural Change Tests Based on ML Scores, F Statistics, and OLS Residuals

Description:

Three classes of structural change tests (or tests for parameter instability) that have been receiving much attention in both the statistics and the econometrics communities but have been developed in rather loosely connected lines of research are unified by embedding them into the framework of generalized M-fluctuation tests (Zeileis and Hornik...

Three classes of structural change tests (or tests for parameter instability) that have been receiving much attention in both the statistics and the econometrics communities but have been developed in rather loosely connected lines of research are unified by embedding them into the framework of generalized M-fluctuation tests (Zeileis and Hornik, 2003). These classes are tests based on maximum likelihood scores (including the Nyblom-Hansen test), on F statistics (sup F, ave F, exp F tests), and on OLS residuals (OLS-based CUSUM and MOSUM tests). We show that (representatives from) these classes are special cases of the generalized M-fluctuation tests, based on the same functional central limit theorem but employing different functionals for capturing excessive fluctuations. After embedding these tests into the same framework and thus understanding the relationship between these procedures for testing in historical samples, it is shown how the tests can also be extended to a monitoring situation. This is achieved by establishing a general M-fluctuation monitoring procedure and then applying the different functionals corresponding to monitoring with ML scores, F statistics, and OLS residuals. In particular, an extension of the sup F test to a monitoring scenario is suggested and illustrated on a real-world data set. ; Aggregation functional, Fluctuation test, Functional central limit theorem, Monitoring, Nyblom-Hansen test, OLS-based CUSUM test, Parameter instability, Structural change, sup F test Minimize

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Title:

Econometric Computing with HC and HAC Covariance Matrix Estimators

Description:

Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasticity consistent (HC) and heteroskedasticity and...

Data described by econometric models typically contains autocorrelation and/or heteroskedasticity of unknown form and for inference in such models it is essential to use covariance matrix estimators that can consistently estimate the covariance of the model parameters. Hence, suitable heteroskedasticity consistent (HC) and heteroskedasticity and autocorrelation consistent (HAC) estimators have been receiving attention in the econometric literature over the last 20 years. To apply these estimators in practice, an implementation is needed that preferably translates the conceptual properties of the underlying theoretical frameworks into computational tools. In this paper, such an implementation in the package sandwich in the R system for statistical computing is described and it is shown how the suggested functions provide reusable components that build on readily existing functionality and how they can be integrated easily into new inferential procedures or applications. The toolbox contained in sandwich is extremely flexible and comprehensive, including specific functions for the most important HC and HAC estimators from the econometric literature. Several real-world data sets are used to illustrate how the functionality can be integrated into applications. Minimize

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Title:

Object-oriented Computation of Sandwich Estimators

Description:

Sandwich covariance matrix estimators are a popular tool in applied regression modeling for performing inference that is robust to certain types of model misspecification. Suitable implementations are available in the R system for statistical computing for certain model fitting functions only (in particular lm()), but not for other standard regr...

Sandwich covariance matrix estimators are a popular tool in applied regression modeling for performing inference that is robust to certain types of model misspecification. Suitable implementations are available in the R system for statistical computing for certain model fitting functions only (in particular lm()), but not for other standard regression functions, such as glm(), nls(), or survreg(). Therefore, conceptual tools and their translation to computational tools in the package sandwich are discussed, enabling the computation of sandwich estimators in general parametric models. Object orientation can be achieved by providing a few extractor functions' most importantly for the empirical estimating functions' from which various types of sandwich estimators can be computed. Minimize

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Title:

zoo: S3 Infrastructure for Regular and Irregular Time Series

Publisher:

University of California at Los Angeles, Department of Statistics

Year of Publication:

2005-01-01T00:00:00Z

Document Type:

article

Language:

English

Subjects:

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

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http://www.jstatsoft.org/v14/i06/paper

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Title:

Econometrics in R: Past, Present, and Future

Description:

Recently, computational methods and software have been receiving more attention in the econometrics literature, emphasizing that they are integral components of modern econometric research. This has also promoted the development of many new econometrics software packages written in R and made available on the Comprehensive R Archive Network. Thi...

Recently, computational methods and software have been receiving more attention in the econometrics literature, emphasizing that they are integral components of modern econometric research. This has also promoted the development of many new econometrics software packages written in R and made available on the Comprehensive R Archive Network. This special volume on "Econometrics in R" features a selection of these recent activities that includes packages for econometric analysis of cross-section, time series and panel data. This introduction to the special volume highlights the contents of the contributions and embeds them into a brief overview of other past, present, and future projects for econometrics in R. Minimize

Publisher:

University of California at Los Angeles, Department of Statistics

Year of Publication:

2008-07-01T00:00:00Z

Document Type:

article

Language:

English

Subjects:

econometrics ; open-source software ; R ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics...

econometrics ; open-source software ; R ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

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http://www.jstatsoft.org/v27/i01/paper

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Title:

Extended Model Formulas in R: Multiple Parts and Multiple Responses

Description:

Model formulas are the standard approach for specifying the variables in statistical models in the S language. Although being eminently useful in an extremely wide class of applications, they have certain limitations including being confined to single responses and not providing convenient support for processing formulas with multiple parts. The...

Model formulas are the standard approach for specifying the variables in statistical models in the S language. Although being eminently useful in an extremely wide class of applications, they have certain limitations including being confined to single responses and not providing convenient support for processing formulas with multiple parts. The latter is relevant for models with two or more sets of variables, e.g., different equations for different model parameters (such as mean and dispersion), regressors and instruments in instrumental variable regressions, two-part models such as hurdle models, or alternative-specific and individual-specific variables in choice models among many others. The R package Formula addresses these two problems by providing a new class Formula (inheriting from formula) that accepts an additional formula operator | separating multiple parts and by allowing all formula operators (including the new |) on the left-hand side to support multiple responses. Minimize

Publisher:

University of California, Los Angeles

Year of Publication:

2010-10-01T00:00:00Z

Document Type:

article

Language:

English

Subjects:

formula processing ; model frame ; model matrix ; R. ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LC...

formula processing ; model frame ; model matrix ; R. ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

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310 Collections of general statistics *(computed)*

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http://www.jstatsoft.org/v34/i01/paper

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Title:

Automatic Generation of Exams in R

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Description:

Package exams provides a framework for automatic generation of standardized statistical exams which is especially useful for large-scale exams. To employ the tools, users just need to supply a pool of exercises and a master file controlling the layout of the final PDF document. The exercises are specified in separate Sweave files (containing R c...

Package exams provides a framework for automatic generation of standardized statistical exams which is especially useful for large-scale exams. To employ the tools, users just need to supply a pool of exercises and a master file controlling the layout of the final PDF document. The exercises are specified in separate Sweave files (containing R code for data generation and LaTeX code for problem and solution description) and the master file is a LaTeX document with some additional control commands. This paper gives an overview of the main design aims and principles as well as strategies for adaptation and extension. Hands-on illustrations---based on example exercises and control files provided in the package---are presented to get new users started easily. Minimize

Publisher:

University of California, Los Angeles

Year of Publication:

2009-02-01T00:00:00Z

Document Type:

article

Language:

English

Subjects:

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H

LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; DOAJ:Statistics ; DOAJ:Mathematics and Statistics ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H ; LCC:Statistics ; LCC:HA1-4737 ; LCC:Social Sciences ; LCC:H Minimize

DDC:

050 General serial publications *(computed)*

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http://www.jstatsoft.org/v29/i10/paper

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