simuMSARX_cpp function

Simulate Markov-switching ARX process

This function simulates a Markov-switching ARX process.

simuMSARX_cpp(mdl_h0, burnin = 100L)

Arguments

• mdl_h0: List containing the following DGP parameters

  • n: Length of series.
  • k: Number of regimes.
  • mu: A (k x 1) vector with mean of process in each regime.
  • sigma: A (k x 1) vector with variance of process in each regime.
  • phi: Vector of autoregressive coefficients.
  • P: A (k x k) transition matrix (columns must sum to one).
  • 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 Markov-switching autoregressive process and its DGP properties.