lppl_simulate: Simulate a LPPL model

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

Description

This function simulates a LPPL model

Usage

lppl_simulate(T = 500, true_parm)

Arguments

T	is the number of simulated time steps
true_parm	is a a 8 x 1 vector containing the parameters for the simulation

Details

This function simulates a LPPL model with parameter vector given by true_param and make a plot of it. More specifically, the LPPL parameters in the true_param vector are given below:

true_parm[1] = beta

true_parm[2] = omega

true_parm[3] = phi

true_parm[4] = A

true_parm[5] = B

true_parm[6] = C

true_parm[7] = sigma (i.e. the error term variance)

true_parm[8] = the critical time tc

Value

y a T x 1 vector of simulated data

Examples

 ## Not run: 
 tparm=c(0.353689, 9.154368, 2.074608, 7.166421,-0.434324, 0.035405, 0.000071, 530)
 aa=lppl_simulate(500,tparm)
 
## End(Not run)

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