est.war1.from.arp: Simulate data from a AR(p) model and estimate the particular...

In deanfantazzini/bubble: Tests for financial bubbles and explosive behavior

Description

This function simulates data from a AR(p) model and estimate the particular AR(1) model by Watanabe et al.(2007a,b) using a simplified method

Usage

est.war1.from.arp(ar.par, step.win)

Arguments

ar.par	is a a p x 1 vector containing the AR parameters for the simulation of the AR(p)
step.win	is the number of simulated time steps

Details

This function simulates data from a AR(p) model and estimate the particular AR(1) model by Watanabe et al.(2007a,b) using a simplified method which does not required nonlinear optimization, and returns the estimated omega(i,ti) parameter

Value

vec.1r.1 is a 1 x 1 numeric scalar, which is the estimated omega(i,ti) parameter

deanfantazzini/bubble documentation built on Oct. 22, 2020, 2:43 p.m.