Qct_reg: Simulate data from time-varying time series regression model

In mlrv: Long-Run Variance Estimation in Time Series Regression

Simulate data from time-varying time series regression model

Description

Simulate data from time-varying time series regression model

Usage

Qct_reg(T_n, param, type = 1)

Arguments

T_n	int, sample size
param	list, a list of parameters
type	type = 1 means the long memory expansion begins from its infinite past, type = 2 means the long memory expansion begins from t = 0

Value

list, a list of data, covariates, response and errors.(before and after fractional difference)

Examples

param = list(d = -0.2, heter = 2, tvd = 0,
tw = 0.8, rate = 0.1, cur = 1, center = 0.3,
ma_rate =  0, cov_tw =  0.2, cov_rate = 0.1,
cov_center = 0.1, all_tw  = 1, cov_trend = 0.7)
n = 500
data = Qct_reg(n, param)

mlrv documentation built on Sept. 11, 2024, 6:57 p.m.