rpci: Generates a random instance of a partial cointegration model
In partialCI: Partial Cointegration

Description Usage Arguments Details Value Author(s) See Also Examples

Generates a random instance of a partial cointegration model

1 2	rpci(n, beta, sigma_C, rho, sigma_M, sigma_R, include.state = FALSE, robust = FALSE, nu = 5)

`n`	Number of observations to generate
`beta`	A vector of factor loadings
`sigma_C`	A vector of standard deviations
`rho`	The coefficient of mean reversion
`sigma_R`	The standard deviation of the innovations of the random walk portion of the residual series
`sigma_M`	The standard deviation of the innovations of the mean-reverting portion of the residual series
`include.state`	If TRUE, then the output data.frame contains the innovations to the factors and residual series, as well as the state of the residual series. Default: FALSE
`robust`	If TRUE, then a t-distribution is used to generate the innovations. Otherwise, the innovations are normally distributed. Default: FALSE.
`nu`	The degrees of freedom parameter used for t-distributed innovations. Default: 5.

Generates a random set of partially cointegrated vectors. On input, n is the length of the sequence to be generated. beta is a vector of length k representing the coefficients of the factor loadings, and sigma_C is a vector of length k representing the standard deviations of the increments of the factor loadings.

Generates a random realization of the sequence

Y_t = β_1 F_{1,t} + β_2 F_{2,t} + ... + β_k F_{k,t} + M_t + R_t

F_{i,j} = F_{i,j-1} + δ_{i,j}

M_t = ρ m_{t-1} + ε_{M,t}

R_t = r_{t-1} + ε_{R,t}

δ_{i,j} ~ N(0, σ_{C,i}^2)

ε_{M,t} ~ N(0, σ_M^2)

ε_{R,t} ~ N(0, σ_R^2)

A data.frame of n rows representing the realization of the partially cointegrated sequence.

If include.state is FALSE, returns an n x (k+1) matrix whose columns are y, F_1, F_2, ..., F_k. If include.state is TRUE, returns an n x (2k + 6) matrix whose columns are y, F_1, F_2, ..., F_k, x, M, R, delta_1, delta_2, ..., delta_k, epsilon_M, epsilon_R.

Matthew Clegg matthewcleggphd@gmail.com

Christopher Krauss christopher.krauss@fau.de

Jonas Rende jonas.rende@fau.de

fit.pci