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MSTest (version 0.1.5)

simuARX_cpp: Simulate autoregressive process with exogenous regressors

Description

This function simulates an ARX process.

Usage

simuARX_cpp(mdl_h0, burnin = 100L)

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: variance 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.