simulation.unknown {hdthreshold} | R Documentation |
Monte Carlo simulation for uniform test of existence of threshold effects under unknown threshold location
Description
Monte Carlo simulation to study the size and power properties of the uniform test for existence of threshold effects under unknown threshold locations. Provides the Monte Carlo distribution of the test statistic and empirical rejection probabilities at 10%, 5% and 1% level.
Usage
simulation.unknown(
N,
TL,
p,
M,
epsilon = c("iid", "factor"),
running = c("iid", "factor"),
hetero = c(0, 1),
threshold = c("uniform", "exponential", "gaussian")
)
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 |
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_unknown = simulation.unknown(2, 800, 0, 10, epsilon = "iid", running = "iid",
hetero = 0, threshold = "gaussian")