Nothing
## ----setup, include = FALSE----------------------------------------------
knitr::opts_chunk$set(
collapse = TRUE,
comment = "#>"
)
## ------------------------------------------------------------------------
library(PointFore)
## ------------------------------------------------------------------------
set.seed(1)
Y.mean <- rnorm(200,0,1)
Y <- rnorm(200,Y.mean,1)
X <- Y.mean
## ------------------------------------------------------------------------
res.const <- estimate.functional(
iden.fct = expectiles,
model = constant,
Y = Y,
X = X,
theta0 = 0.5)
summary(res.const)
## ------------------------------------------------------------------------
res.flexible <- estimate.functional(iden.fct = expectiles,
model = probit_linear,
Y = Y,X = X,
theta0 = c(0,0),
stateVariable = X)
summary(res.flexible)
## ---- fig.show="hold", fig.cap = "The results of the constant and flexible model plotted against the forecast."----
plot(res.const)
plot(res.flexible)
## ------------------------------------------------------------------------
library(car)
## ------------------------------------------------------------------------
linearHypothesis(res.const$gmm,"Theta[1]=0.5")
## ------------------------------------------------------------------------
linearHypothesis(res.flexible$gmm,c("Theta[1]=0", "Theta[2]=0"))
linearHypothesis(res.flexible$gmm,"Theta[2]=0")
## ------------------------------------------------------------------------
break_model <- function(stateVariable, theta)
{
if(length(theta)!=2)
stop("Wrong dimension of theta")
return(boot::inv.logit(theta[1]+theta[2]*(stateVariable>0)))
}
## ------------------------------------------------------------------------
res.break <- estimate.functional(iden.fct = expectiles,
model = break_model,
Y = Y,X = X,
theta0 = c(0,0),
stateVariable = X)
summary(res.break)
plot(res.break)
## ------------------------------------------------------------------------
X <- Y.mean + 0.2 *(Y.mean>0)
res.break <- estimate.functional(iden.fct = expectiles,
model = break_model,
Y = Y,X = X,
theta0 = c(0,0),
stateVariable = X)
summary(res.break)
plot(res.break)
## ------------------------------------------------------------------------
res.flexible <- estimate.functional(iden.fct = expectiles,
model = probit_linear,
Y = Y,X = X,
theta0 = c(0,0),
stateVariable = X)
summary(res.flexible)
plot(res.flexible)
## ------------------------------------------------------------------------
res.flexible <- estimate.functional(iden.fct = expectiles,
model = probit_linear,
Y = Y,X = X,
theta0 = c(0,0),
instruments = c("lag(Y)","X","sign(X)*X^2"),
stateVariable = X)
summary(res.flexible)$Jtest
res.break <- estimate.functional(iden.fct = expectiles,
model = probit_break,
Y = Y,X = X,
theta0 = c(0,0),
instruments = c("lag(Y)","X","sign(X)*X^2"),
stateVariable = X)
summary(res.break)$Jtest
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