remove_consecutive_jumps: Remove consecutive jumps

In YalDan/hf.econometrics: High Frequency Econometrics

Remove consecutive jumps

Description

Helper function to remove consecutive jumps

Usage

remove_consecutive_jumps(
  DATA,
  RANGE_OBS = 3,
  split_vars = c("date", "hour", "s")
)

Arguments

DATA	The output from LM_JumpTest_2012.
RANGE_OBS	How many observations away must a jump be to be considered non-consecutive? Defaults to 3, s.t. all jumps in the next 3 blocks will be removed.
split_vars	By which variables should the data be split? Defaults to c("date", "hour", "s").

Value

Returns the data without consecutive jumps

YalDan/hf.econometrics documentation built on May 10, 2024, 2:18 a.m.