FCVARsim: Draw Samples from the FCVAR Model

In FCVAR: Estimation and Inference for the Fractionally Cointegrated VAR

Draw Samples from the FCVAR Model

Description

FCVARsim simulates the FCVAR model as specified by input model and starting values specified by data. Errors are drawn from a normal distribution.

Usage

FCVARsim(x, model, NumPeriods)

Arguments

x	A N x p matrix of N starting values for the simulated observations.
model	A list of estimation results, just as if estimated from FCVARest. The parameters in model can also be set or adjusted by assigning new values.
NumPeriods	The number of time periods in the simulation.

Value

A NumPeriods by p matrix xBS of simulated observations.

See Also

FCVARoptions to set default estimation options. FCVARestn for the specification of the model. Use FCVARsim to draw a sample from the FCVAR model. For simulations intended for bootstrapping statistics, use FCVARsimBS.

Other FCVAR auxiliary functions: FCVARforecast(), FCVARlikeGrid(), FCVARsimBS(), FracDiff(), plot.FCVAR_grid()

Examples

opt <- FCVARoptions()
opt$gridSearch   <- 0 # Disable grid search in optimization.
opt$dbMin        <- c(0.01, 0.01) # Set lower bound for d,b.
opt$dbMax        <- c(2.00, 2.00) # Set upper bound for d,b.
opt$constrained  <- 0 # Impose restriction dbMax >= d >= b >= dbMin ? 1 <- yes, 0 <- no.
x <- votingJNP2014[, c("lib", "ir_can", "un_can")]
results <- FCVARestn(x, k = 2, r = 1, opt)
x_sim <- FCVARsim(x[1:10, ], results, NumPeriods = 100)

FCVAR documentation built on May 5, 2022, 9:06 a.m.