simuARX: Simulate autoregressive X process

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Simulate autoregressive X process

Description

This function simulates an autoregresive X process.

Usage

simuARX(mdl_h0, burnin = 100)

Arguments

mdl_h0

List containing the following DGP parameters n: Length of series. mu: Mean of process. sigma: Standard deviation of process. phi: Vector of autoregressive coefficients. eps: An optional (T+burnin x q) matrix with standard normal errors to be used. Errors will be generated if not provided. Z: A (T x qz) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables. betaZ: A (qz x 1) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.

burnin

Number of simulated observations to remove from beginning. Default is 100.

Value

List with simulated autoregressive series and its DGP parameters.

Examples

set.seed(1234)
# Define DGP of AR process
mdl_ar <- list(n     = 500, 
               mu    = 5,
               sigma = 2,
               phi   = c(0.5,0.2))

# Simulate process using simuAR() function
y_simu <- simuAR(mdl_ar)

plot(y_simu)

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.