Description Usage Arguments Details Value Author(s) References See Also
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.
1 | ols_test(theta0, y, alpha)
|
theta0 |
Parameter θ^0 to define the Null-Hypothesis. |
y |
Observed process y=(y_0,...,y_N). |
alpha |
Level alpha of the test. |
The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).
The function returns a boolean denoting the test decision by TRUE
for reject and FALSE
for not-reject.
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.
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