residuals_extrap function

Extrapolation function for the residuals in a twoStepsBenchmark

This function is the rule to extrapolate the low-frequency residuals. If include.differenciation is TRUE, u(n+1)-u(n) = rho*(u(n)-u(n-1)) Else u(n+1) = rho * u(n)

residuals_extrap(lfresiduals, rho, include.differenciation)

Arguments

• lfresiduals: the residuals to extrapolate
• rho: the autocorrelation parameter of the regression
• include.differenciation: a boolean, the same as submitted to twoStepsBenchmark

Returns

a numeric, the extrapolated sequence of residuals, to replace the NA of the residuals