Consistency correction for estimate of residual variance when using impulse indicator saturation.
Usage
isvarcor(t.pval, sigma)
Arguments
t.pval
numeric value. the p-value of selection in the impulse indicator saturation model.
sigma
numeric value. The estimated standard deviation of the residuals from the impulse indicator saturation model.
Value
$sigma.cor and the correction factor used $corxi
Details
The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated residual standard deviation.
References
Johansen, S., & Nielsen, B. (2016): 'Asymptotic theory of outlier detection algorithms for linear time series regression models.' Scandinavian Journal of Statistics, 43(2), 321-348.