tools/hbm.sim.R

In d9d6ka/RANEPA-R: Set of unit root and cointegration tests

hbm.sim <- function(N,
                    mu = 0,
                    tau,
                    sigma0,
                    sigma1,
                    x0 = 0,
                    vs = "shift",
                    tau.break,
                    delta.break) {
    e <- rnorm(N)

    if (vs == "shift") {
        sigma <- sigma0 + (sigma1 - sigma0) *
            ifelse((1:N) / N > tau, 1, 0)
    } else if (vs == "double_shift") {
        sigma <- sigma0 + (sigma1 - sigma0) *
            ifelse(((1:N) / N > 0.4) & ((1:N) / N <= 0.6), 1, 0)
    } else if (vs == "lst") {
        sigma <- sigma0 + (sigma1 - sigma0) *
            1 / (1 + exp(-50 * ((1:N) / N - 0.5)))
    } else if (vs == "trend") {
        sigma <- sigma0 + (sigma1 - sigma0) *
            ((1:N) / N)
    }
    eps <- sigma * e
    u <- c(x0)
    for (i in 2:(N + 1)) {
        if (i <= floor(tau.break[1] * N)) {
            u[i] <- u[i - 1] + eps[i - 1]
        } else if (i > floor(tau.break[1] * N) & i <= floor(tau.break[2] * N)) {
            u[i] <- (1 + delta.break[1]) * u[i - 1] + eps[i - 1]
        } else if (i > floor(tau.break[2] * N) & i <= floor(tau.break[3] * N)) {
            u[i] <- (1 - delta.break[2]) * u[i - 1] + eps[i - 1]
        } else {
            u[i] <- u[i - 1] + eps[i - 1]
        }
    }
    y <- mu + u
    if (y[floor(tau.break[2] * N)] < y[floor(tau.break[1] * N)]) {
        y <- (-1) * y
    }
    return(
        list(
            N = N,
            mu = mu,
            sigma0 = sigma0,
            sigma1 = sigma1,
            x0 = x0,
            tau.break = tau.break,
            delta.break = delta.break,
            tau = tau,
            sigma = sigma,
            eps = eps,
            u = u,
            y = y
        )
    )
}