simuARX function

Simulate autoregressive X process

This function simulates an autoregresive X process.

simuARX(mdl_h0, burnin = 100)

Arguments

• mdl_h0: List containing the following DGP parameters

  • n: Length of series.
  • mu: Mean of process.
  • sigma: Standard deviation of process.
  • phi: Vector of autoregressive coefficients.
  • 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.

Returns

List with simulated autoregressive series and its DGP parameters.

Examples

set.seed(1234)
# Define DGP of AR process
mdl_ar <- list(n     = 500, 
               mu    = 5,
               sigma = 2,
               phi   = c(0.5,0.2))

# Simulate process using simuAR() function
y_simu <- simuAR(mdl_ar)

plot(y_simu)