dgp_engle: Generate data according to Heteroskedasticitic error term...

In DataScienceForPublicPolicy/hypML: unitrootML - Machine Learning-Based Hypothesis Testing for Time Series

Description

Returns a vector of

Usage

dgp_engle(
  periods = 100,
  sd = 1,
  gamma = 1,
  theta = 0.5,
  alpha0 = 1,
  alpha1 = 0.5
)

Arguments

periods	A time series object
sd	Standard deviation
gamma	Gamma
theta	Theta
alpha0	Alpha0
alpha1	Alpha1

Value

A data frame

Author(s)

Gary Cornwall and Jeffrey Chen

Examples

dgp_engle(periods = 100,
          sd = 1,
          gamma = 1,
          theta = .5,
          alpha0 = 1,
          alpha1 = .5)

DataScienceForPublicPolicy/hypML documentation built on Dec. 17, 2021, 4:06 p.m.