bregress2: 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 with change points

Description

Simulate data from time-varying time series regression model with change points

Usage

bregress2(nn, cp = 0, delta = 0, type = "norm")

Arguments

nn	sample size
cp	number of change points. If cp is between 0 and 1, it specifies the location of the single change point
delta	double, magnitude of the jump
type	type of distributions of the innovations, default normal. It can also be "t4", "t5" and "t6".

Value

a list of data, x covariates, y response and e error. n = 300 data = bregress2(n, 2, 1) # time series regression model with 2 changes points

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