isvarcor: IIS Consistency Correction
In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Examples
Description
Consistency correction for estimate of residual variance when using impulse indicator saturation.
Usage
1
Arguments
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.
Details
The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated residual standard deviation.
Value
a data frame containing the corrected standard deviation $sigma.cor and the correction factor used $corxi
Author(s)
Felix Pretis, http://www.felixpretis.org/
References
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.
See Also
Examples
1
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Description Usage Arguments Details Value Author(s) References See Also Examples
Description
Consistency correction for estimate of residual variance when using impulse indicator saturation.
Usage
1 |
Arguments
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. |
Details
The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated residual standard deviation.
Value
a data frame containing the corrected standard deviation $sigma.cor and the correction factor used $corxi
Author(s)
Felix Pretis, http://www.felixpretis.org/
References
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.
See Also
Examples
1 |
gets documentation built on April 4, 2018, 5:03 p.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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