ols_test: OLS test for the two sided alternative for parameters of an...
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Description
The function calculates the test decision on for a given two sided hypothesis H_0: θ = θ^0 based on an observed process y and level alpha for linear AR(1) processes with intercept and explosion.
Usage
1
ols_test(theta0, y, alpha)
Arguments
theta0
Parameter θ^0 to define the Null-Hypothesis.
y
Observed process y=(y_0,...,y_N).
alpha
Level alpha of the test.
Details
The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).
Value
The function returns a boolean denoting the test decision by TRUE for reject and FALSE for not-reject.
Author(s)
Christoph Kustosz and Sebastian Szugat
References
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.
See Also
ChrisKust/rexpar documentation built on May 6, 2019, 11:48 a.m.
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Description Usage Arguments Details Value Author(s) References See Also
Description
The function calculates the test decision on for a given two sided hypothesis H_0: θ = θ^0 based on an observed process y and level alpha for linear AR(1) processes with intercept and explosion.
Usage
1 | ols_test(theta0, y, alpha)
|
Arguments
theta0 |
Parameter θ^0 to define the Null-Hypothesis. |
y |
Observed process y=(y_0,...,y_N). |
alpha |
Level alpha of the test. |
Details
The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).
Value
The function returns a boolean denoting the test decision by TRUE for reject and FALSE for not-reject.
Author(s)
Christoph Kustosz and Sebastian Szugat
References
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.
See Also
R Package Documentation
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We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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