ltm_sim: Simulate LTM model

In bltm: Bayesian Latent Threshold Modeling

Description

Simulate LTM model using many

Usage

ltm_sim(ns, nk, ni, vmu, mPhi, mSigs, dsig, vd, alpha)

Arguments

ns	number of times
nk	number of covariates
ni	number of series
vmu	vector mu
mPhi	phi diagonal matrix with the parameters
mSigs	sigma eta vector
dsig	general sigma
vd	threshold parameter
alpha	intercept

Value

List containing the generated y, x, beta and thresholded beta.

References

Nakajima, Jouchi, and Mike West. "Bayesian analysis of latent threshold dynamic models." Journal of Business & Economic Statistics 31.2 (2013): 151-164.

Examples

# Generates 10 series, each one with 500 observations and 2 regressors.

d_sim <- ltm_sim(
  ns = 500, nk = 2, ni = 10,
  vmu = matrix(c(.5,.5), nrow = 2),
  mPhi = diag(2) * c(.99, .99),
  mSigs = c(.1,.1),
  dsig = .15,
  vd = matrix(c(.4,.4), nrow = 2),
  alpha = 0
)

str(d_sim)

bltm documentation built on July 18, 2019, 9:06 a.m.