Efficiency correction for the estimates of coefficient standard errors on fixed regressors.
Usage
isvareffcor(t.pval, se, m=1)
Arguments
t.pval
numeric value. the p-value of selection in the impulse indicator saturation model.
se
numeric value or vector. The estimated standard errors of the coefficients on fixed regressors in impulse indicator saturation model.
m
integer. The m-step correction factor.
Value
$se.cor and the correction factor used $eta.m
Details
The Johansen and Nielsen (2016) impulse-indicator efficiency correction for the estimated standard errors on fixed regressors in impulse indicator models.
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.