ols_expl: OLS Estimation for explosive AR(1) processes with intercept
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

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

OLS Estimation for explosive AR(1) processes with intercept

1	ols_expl(y)

`y`	Observed process y=(y_0,...,y_N).

The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).

`theta0`	Estimated intercept.
`theta1`	Estimated ar parameter.
`sigma2`	Estimated variance based on the estimated residuals.

Christoph Kustosz and Sebastian Szugat

Wang X. and Yu, J. (2013). Limit theory for an explosive autoregressive process. Working Paper, No 08-2013. Singapore Management University, School of Economics.

Kustosz, C. (2016). Depth based estimators and tests for autoregressive processes with application. Ph. D. thesis. TU Dortmund.

ols_test,ols_ts

ChrisKust/rexpar documentation built on May 6, 2019, 11:48 a.m.