mlrv (version 0.1.2)

lrv_measure: Comparing bias or mse of lrv estimators based on numerical methods

Description

Comparing bias or mse of lrv estimators based on numerical methods

Usage

lrv_measure(
  data,
  param,
  lrvmethod,
  mvselect = -1,
  tau = 0,
  verbose_dist = FALSE,
  mode = "mse"
)

Value

empirical MSE of the estimator.

Arguments

data

a list of data

param

a list of parameters

lrvmethod

int, method of long-run variance estimation

mvselect

int, method of MV selection

tau

double, value of tau. If tau is 0, a rule-of-thunk value will be applied

verbose_dist

bool, whether to output distributional information

mode

default "mse", It can be set as "bias".

Examples

n = 300
param = list(gcv = 1, neighbour = 1,lb = 6, ub = 13, ind = 2)    # covariates heterskadecity
data = bregress2(n, 2, 1) # with 2 change pointa
lrv_measure(data, param, lrvmethod = -1, mvselect = -2) #ols plug-in
#debiased difference-based
lrv_measure(data, param, lrvmethod = 1, mvselect = -2)