ols_ts: OLS test statisitic for explosive AR(1) processes
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes
Description
Usage
Arguments
Details
Value
Author(s)
References
See Also
Description
The function comutes an OLS test statistic as described in Wang and Yu (2013) to derive an OLS based test for explosive AR processes.
Usage
1
ols_ts(y, thetaT)
Arguments
y
Observed AR(1) processy=(y_0,...,y_N) with intercept.
thetaT
Parameter θ to calculate the OLS statistic in.
Details
The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).
Value
Ttheta0
OLS test statistic for the intercept parameter.
Ttheta1
OLS test statistic for the AR parameter.
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 comutes an OLS test statistic as described in Wang and Yu (2013) to derive an OLS based test for explosive AR processes.
Usage
1 | ols_ts(y, thetaT)
|
Arguments
y |
Observed AR(1) processy=(y_0,...,y_N) with intercept. |
thetaT |
Parameter θ to calculate the OLS statistic in. |
Details
The theoretical details can be found in Wang and Yu (2013). Remarks on the implementation are in Kustosz (2016).
Value
Ttheta0 |
OLS test statistic for the intercept parameter. |
Ttheta1 |
OLS test statistic for the AR parameter. |
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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Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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