simuMSARX_cpp {MSTest} | R Documentation |
Simulate Markov-switching ARX process
Description
This function simulates a Markov-switching ARX process.
Usage
simuMSARX_cpp(mdl_h0, burnin = 100L)
Arguments
mdl_h0 |
List containing the following DGP parameters
n: Length of series.
k: Number of regimes.
mu: A (k x 1 ) vector with mean of process in each regime.
sigma: A (k x 1 ) vector with variance of process in each regime.
phi: Vector of autoregressive coefficients.
P: A (k x k ) transition matrix (columns must sum to one).
eps: An optional (T+burnin x q ) matrix with standard normal errors to be used. Errors will be generated if not provided.
Z: A (T x qz ) matrix with exogenous regressors (Optional) and where qz is the number of exogenous variables.
betaZ: A (qz x 1 ) matrix true coefficients on exogenous regressors (Optional) and where qz is the number of exogenous variables.
|
burnin |
Number of simulated observations to remove from beginning. Default is 100 .
|
Value
List with simulated Markov-switching autoregressive process and its DGP properties.
[Package
MSTest version 0.1.5
Index]