sim_T: bootstrap distribution

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

bootstrap distribution

Description

bootstrap distribution of the gradient based structural stability test

Usage

sim_T(X, t, sigma, m, B, type = 0L)

Arguments

X	matrix of covariates
t	vector of time points
sigma	a cube of long-run covariance function.
m	int value of window size
B	int, number of iteration
type	type of tests, residual-based or coefficient-based

Value

a vector of bootstrap statistics

Examples

param = list(B = 50, bw_set = c(0.15, 0.25), gcv =1, neighbour = 1, lb = 10, ub = 20, type = 0)
n = 300
data = bregress2(n, 2, 1) # time series regression model with 2 changes points
sigma = Heter_LRV(data$y, data$x, 3, 0.3, lrv_method = 1)
bootstrap = sim_T(data$x, (1:n)/n, sigma, 3, 20) ### 20 iterations

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