getCriticalValues: Get critical value for the drift burst hypothesis t-statistic
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getCriticalValues R Documentation
Get critical value for the drift burst hypothesis t-statistic
Description
Method for DBH objects to calculate the critical value for the presence of a burst of drift.
The critical value is that of the test described in appendix B in Christensen Oomen Reno
Usage
getCriticalValues(x, alpha = 0.95)
Arguments
x
object of class DBH
alpha
numeric denoting the confidence level for the critical value. Possible values are c(0.9 0.95 0.99 0.995 0.999 0.9999)
Author(s)
Emil Sjoerup
References
Christensen, K., Oomen, R., and Reno, R. (2020) The drift burst hypothesis. Journal of Econometrics. Forthcoming.
highfrequency documentation built on Oct. 4, 2023, 5:08 p.m.
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| getCriticalValues | R Documentation |
Get critical value for the drift burst hypothesis t-statistic
Description
Method for DBH objects to calculate the critical value for the presence of a burst of drift. The critical value is that of the test described in appendix B in Christensen Oomen Reno
Usage
getCriticalValues(x, alpha = 0.95)
Arguments
x |
object of class |
alpha |
numeric denoting the confidence level for the critical value. Possible values are |
Author(s)
Emil Sjoerup
References
Christensen, K., Oomen, R., and Reno, R. (2020) The drift burst hypothesis. Journal of Econometrics. Forthcoming.
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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