Improved Augmented Regression Method for Predictive Regression

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Description

Function to generate restriction matrices

Usage

1
Rmatrix(p, k, type = 1, index = 0)

Arguments

p

AR order

k

number of predictors

type

type = 1: H0: b1=b2=b3=0; type = 2: H0: b1+b2+b3=0

index

index=0 : H0 applies for all parameters; index=k : H0 applies for kth predictor

Details

Function to generate restriction matrices

Value

Rmat

this value should be passed to PR.IARM

rvec

this value should be passed to PR.IARM

Author(s)

Jae H. Kim

References

Kim J.H., 2014, Predictive Regression: Improved Augmented Regression Method, Journal of Empirical Finance 25, 13-15.

Examples

1
Rmat1=Rmatrix(p=1,k=1,type=2,index=1); Rmat=Rmat1$Rmat; rvec=Rmat1$rvec