simulation.pooled: Monte Carlo simulation for pooled test of existence of...

In hdthreshold: Inference on Many Jumps in Nonparametric Panel Regression Models

Monte Carlo simulation for pooled test of existence of threshold effects

Description

Monte Carlo simulation to study the size and power properties of the pooled test for existence of threshold effects under unknown threshold locations. The pooled test can be based on a nonparametric regression model or a linear panel threshold regression model. Provides the Monte Carlo distribution of the test statistic and empirical rejection probabilities at 10%, 5% and 1% level.

Usage

simulation.pooled(
  N,
  TL,
  p,
  M,
  epsilon = c("iid", "factor"),
  running = c("iid", "factor"),
  hetero = c(0, 1),
  threshold = c("uniform", "exponential", "gaussian"),
  method = c("parametric", "nonparametric")
)

Arguments

N	cross-sectional dimension
TL	time series length
p	fraction of non-zero coefficients
M	number of Monte Carlo runs
epsilon	specification of error term. If "iid" is selected the error term is iid standard normal. If "factor" is selected, the error term follows a factor model with strong cross-sectional and weak temporal dependence.
running	specification of running variable. If "iid" is selected the running variable is iid uniformly distributed. If "factor" is selected, the running variable follows a factor model with strong cross-sectional and weak temporal dependence.
hetero	if hetero=1 the error term is heteroskedastic, if hetero=0 the error term is homoskedastic.
threshold	specifies the distribution for the non-zero threshold coefficients, possible values are "normal" for the standard normel, "exponential" for an exponential distribution with parameter 1, or "uniform" for a uniform distribution.
method	method of estimation ("nonparametric" vs. "parametric")

Value

A list containing the value of the test statistic for each Monte Carlo run and the empirical rejection rate for a 10%, 5% and 1% confidence level.

Examples

result_pooled = simulation.pooled(5, 400, 0, 10, epsilon = "iid", running = "iid",
                hetero = 0, threshold = "gaussian", method = "nonparametric")

hdthreshold documentation built on April 11, 2025, 5:54 p.m.