Description Usage Arguments Details Value Author(s) References See Also Examples
Consistency correction for estimate of residual variance when using impulse indicator saturation.
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t.pval |
numeric value. the p-value of selection in the impulse indicator saturation model. |
sigma |
numeric value. The estimated standard deviation of the residuals from the impulse indicator saturation model. |
The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated residual standard deviation.
a data frame containing the corrected standard deviation $sigma.cor
and the correction factor used $corxi
Felix Pretis, http://www.felixpretis.org/
Johansen, S., & Nielsen, B. (2016): 'Asymptotic theory of outlier detection algorithms for linear time series regression models.' Scandinavian Journal of Statistics, 43(2), 321-348.
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