isvareffcor

Efficiency correction for the estimates of coefficient standard errors on fixed regressors.

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

isvareffcor function

<dl> <dt>t.pval</dt>
<dd>numeric value. the p-value of selection in the impulse indicator saturation model.</dd> <dt>se</dt>
<dd>numeric value or vector. The estimated standard errors of the coefficients on fixed regressors in impulse indicator saturation model.</dd> <dt>m</dt>
<dd>integer. The m-step correction factor.</dd> </dl>

Arguments

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

Author

IIS Efficiency Correction — isvareffcor

<dl>

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

 <dt>se</dt>
<dd>numeric value or vector. The estimated standard errors of the coefficients on fixed regressors in impulse indicator saturation model.</dd>

 <dt>m</dt>
<dd>integer. The m-step correction factor.</dd>

 </dl>

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

isvareffcor: IIS Efficiency Correction

Description

Usage

Value

Arguments

Author

Details

References

See Also

Examples