R/ols_test.R

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

ols_test <- function(theta0, y, alpha)
{
  ts <- rexpar::ols_ts(y, theta0)
  ts <- c(ts$Ttheta0, ts$Ttheta1)
  Ests <- rexpar::ols_expl(y)
  qts <- t(ts) %*% ginv(diag(rep(sqrt(Ests$sigma2), 2))) %*% ts
  phi <- (qts > qchisq(1 - alpha, df = 2))
  list(phi = phi)
}