simuARX_cpp function

Simulate autoregressive process with exogenous regressors

This function simulates an ARX process.

simuARX_cpp(mdl_h0, burnin = 100L)

Arguments

• mdl_h0: List containing the following DGP parameters

  • n: Length of series.
  • mu: Mean of process.
  • sigma: variance 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.