MSTest (version 0.1.5)

simuARX: Simulate autoregressive X process

Description

This function simulates an autoregresive X process.

Usage

simuARX(mdl_h0, burnin = 100)

Value

List with simulated autoregressive series and its DGP parameters.

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.

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)