midasr (version 0.9)

midas_si_sim: Simulate SI MIDAS regression model

Description

Simulate SI MIDAS regression model

Usage

midas_si_sim(
  n,
  m,
  theta,
  gfun,
  ar.x,
  ar.y,
  rand.gen = rnorm,
  n.start = NA,
  ...
)

Value

a list

Arguments

n

number of observations to simulate.

m

integer, frequency ratio

theta

vector, restriction coefficients for high frequency variable

gfun

function, a function which takes a single index

ar.x

vector, AR parameters for simulating high frequency variable

ar.y

vector, AR parameters for AR part of the model

rand.gen

function, a function for generating the regression innovations, default is rnorm

n.start

integer, length of a 'burn-in' period. If NA, the default, a reasonable value is computed.

...

additional parameters to rand.gen

Examples

nnbeta <- function(p, k) nbeta(c(1, p), k)

dgp <- midas_si_sim(250,
  m = 12, theta = nnbeta(c(2, 4), 24),
  gfun = function(x) 0.03 * x^3,
  ar.x = 0.9, ar.y = 0.5, n.start = 100
)