simulation.pooled {hdthreshold} | R Documentation |
Monte Carlo simulation for pooled test of existence of threshold effects
Description
Monte Carlo simulation to study the size and power properties of the pooled test for existence of threshold effects under unknown threshold locations. The pooled test can be based on a nonparametric regression model or a linear panel threshold regression model. Provides the Monte Carlo distribution of the test statistic and empirical rejection probabilities at 10%, 5% and 1% level.
Usage
simulation.pooled(
N,
TL,
p,
M,
epsilon = c("iid", "factor"),
running = c("iid", "factor"),
hetero = c(0, 1),
threshold = c("uniform", "exponential", "gaussian"),
method = c("parametric", "nonparametric")
)
Arguments
N |
cross-sectional dimension |
TL |
time series length |
p |
fraction of non-zero coefficients |
M |
number of Monte Carlo runs |
epsilon |
specification of error term. If |
running |
specification of running variable. If |
hetero |
if |
threshold |
specifies the distribution for the non-zero threshold coefficients, possible values are |
method |
method of estimation ( |
Value
A list containing the value of the test statistic for each Monte Carlo run and the empirical rejection rate for a 10%, 5% and 1% confidence level.
Examples
result_pooled = simulation.pooled(5, 400, 0, 10, epsilon = "iid", running = "iid",
hetero = 0, threshold = "gaussian", method = "nonparametric")