sample_dataset_I1: Unit Root Sample Data for Examples
In Marga8/HDGCvar: Granger Causality Testing in High Dimensional Vector Autoregressive Models
sample_dataset_I1 R Documentation
Unit Root Sample Data for Examples
Description
A dataset of 30 non-stationary time series of sample T=200 obtined by reverting a 30 stationary time series obtained through a non-sparse VAR(1) DGP.
This means effectively that the series are obtained from a VAR(2) in levels. All series have a unit root.
Usage
sample_dataset_I1
Format
A matrix of 30 columns and 200 rows where each column correspond to a single non-stationary time series.
- T_
The sample size
- g
The number of covariates
Marga8/HDGCvar documentation built on May 25, 2024, 11:12 a.m.
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| sample_dataset_I1 | R Documentation |
Unit Root Sample Data for Examples
Description
A dataset of 30 non-stationary time series of sample T=200 obtined by reverting a 30 stationary time series obtained through a non-sparse VAR(1) DGP. This means effectively that the series are obtained from a VAR(2) in levels. All series have a unit root.
Usage
sample_dataset_I1
Format
A matrix of 30 columns and 200 rows where each column correspond to a single non-stationary time series.
- T_
The sample size
- g
The number of covariates
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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