R/ols_ts.R

In ChrisKust/rexpar: Simplicial Depth for Explosive Autoregressive Processes

ols_ts <- function(y, thetaT)
{
  y1 <- y[1:(length(y) - 1)]
  y2 <- y[2:length(y)]
  Ests <- rexpar::ols_expl(y)
  Ttheta_0 <- ((Ests$theta0 - thetaT[2]) * sqrt(length(y) * sum(y1^2) - (sum(y1)^2))) / (sqrt(sum(y1^2) * Ests$sigma2))
  Ttheta_1 <- (Ests$theta1 - thetaT[1]) * sqrt(length(y) * sum(y1^2) - (sum(y1)^2)) / (sqrt(length(y) * Ests$sigma2))
  list(Ttheta0 = Ttheta_0, Ttheta1 = Ttheta_1)
}