power_ols: Power of an OLS test for explosive AR processes
In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

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

This function simulates the power of an OLS test for explosive AR processes discussed in Wang and Yu (2013).

1	power_ols(thetas, N, R, sv, cont, theta0, alpha)

`thetas`	Parameter θ_k = (θ_{0,k},θ_{1,k}) with which processes are simulated to evaluate the power in.
`N`	Size of the simulated processes.
`R`	Number of repetitions in the simulation study.
`sv`	Starting value y_0 for the simulated processes.
`cont`	Contamination distribution as defined by RandomARMod_lin2.
`theta0`	Parameter to define the Null-Hypothesis H0: θ = θ^0 of the considered two-sided test.
`alpha`	Level α of the test

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

The output is a simulated value of the power function for the test in H0: θ = θ^0 evaluated in thetas.

Kustosz, Christoph

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_expl,ols_test,ols_ts

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