isvarcor: IIS Consistency Correction

In gets: General-to-Specific (GETS) Modelling and Indicator Saturation Methods

IIS Consistency Correction

Description

Consistency correction for estimate of residual variance when using impulse indicator saturation.

Usage

isvarcor(t.pval, sigma)

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.

Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): 'Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks'. Journal of Statistical Software 86, Number 3, pp. 1-44

See Also

isatvar

Examples

isvarcor(t.pval=0.05, sigma=2)

gets documentation built on Oct. 10, 2022, 1:06 a.m.