ltm_sim function

Simulate LTM model

Simulate LTM model using many

ltm_sim(ns, nk, ni, vmu, mPhi, mSigs, dsig, vd, alpha)

Arguments

• ns: number of times
• nk: number of covariates
• ni: number of series
• vmu: vector mu
• mPhi: phi diagonal matrix with the parameters
• mSigs: sigma eta vector
• dsig: general sigma
• vd: threshold parameter
• alpha: intercept

Returns

List containing the generated y, x, beta and thresholded beta.

Examples

# Generates 10 series, each one with 500 observations and 2 regressors.

d_sim <- ltm_sim(
  ns = 500, nk = 2, ni = 10,
  vmu = matrix(c(.5,.5), nrow = 2),
  mPhi = diag(2) * c(.99, .99),
  mSigs = c(.1,.1),
  dsig = .15,
  vd = matrix(c(.4,.4), nrow = 2),
  alpha = 0
)

str(d_sim)

References

Nakajima, Jouchi, and Mike West. "Bayesian analysis of latent threshold dynamic models." Journal of Business & Economic Statistics 31.2 (2013): 151-164.