isvarcor

Consistency correction for estimate of residual variance when using impulse indicator saturation.

time series

Statistical Models

Econometrics

Financial Econometrics

Automated General-to-Specific (GETS) modelling of the mean and variance of a regression, and indicator saturation methods for detecting and testing for structural breaks in the mean, see Pretis, Reade and Sucarrat (2018) <doi:10.18637/jss.v086.i03> for an overview of the package. In advanced use, the estimator and diagnostics tests can be fully user-specified, see Sucarrat (2021) <doi:10.32614/RJ-2021-024>.

Genaro Sucarrat

gets

General-to-Specific (GETS) Modelling and Indicator Saturation
Methods

isvarcor function

<dl> <dt>t.pval</dt>
<dd>numeric value. the p-value of selection in the impulse indicator saturation model.</dd> <dt>sigma</dt>
<dd>numeric value. The estimated standard deviation of the residuals from the impulse indicator saturation model.</dd></dl>

Arguments

Felix Pretis, <a href="https://felixpretis.climateeconometrics.org/">https://felixpretis.climateeconometrics.org/</a>

Author

IIS Consistency Correction — isvarcor

<dl>

 <dt>t.pval</dt>
<dd>numeric value. the p-value of selection in the impulse indicator saturation model.</dd>

 <dt>sigma</dt>
<dd>numeric value. The estimated standard deviation of the residuals from the impulse indicator saturation model.</dd>

</dl>

Felix Pretis, <a href='https://felixpretis.climateeconometrics.org/'>https://felixpretis.climateeconometrics.org/</a>

isvarcor: IIS Consistency Correction

Description

Usage

Value

Arguments

Author

Details

References

See Also

Examples