midasr (version 0.2)

simplearma.sim: Simulate AR(1) or MA(1) model

Description

Simulate MIDAS regressor as a AR(1) or MA(1) time series

Usage

simplearma.sim(model, n, innov.sd, frequency, n.start = 300)

Arguments

model

A named vector of length one. Name is either "ar", or "ma" depending on which AR(1) or MA(1) process should be generated

n

the length of output series

innov.sd

the standard error of innovations, which are zero mean normal random variables

frequency

the frequency of the regressor, should be larger than one.

n.start

the length of the burn.in period, the default is 300.

Value

• a time-series object of class ts

Examples

#Generate AR(1) model with rho=0.6, with frequency 12
x <- simplearma.sim(list(ar=0.6),1500*12,1,12)