isvareffcor function

IIS Efficiency Correction

Efficiency correction for the estimates of coefficient standard errors on fixed regressors.

isvareffcor(t.pval, se, m=1)

Arguments

• t.pval: numeric value. the p-value of selection in the impulse indicator saturation model.
• se: numeric value or vector. The estimated standard errors of the coefficients on fixed regressors in impulse indicator saturation model.
• m: integer. The m-step correction factor.

Returns

a data frame containing the corrected standard deviation $se.cor and the correction factor used $eta.m

Details

The Johansen and Nielsen (2016) impulse-indicator efficiency correction for the estimated standard errors on fixed regressors in impulse indicator models.

References

Johansen, S., & Nielsen, B. (2016): 'Asymptotic theory of outlier detection algorithms for linear time series regression models.' Scandinavian Journal of Statistics, 43(2), 321-348.

Pretis, Felix, Reade, James and Sucarrat, Genaro (2018): 'Automated General-to-Specific (GETS) Regression Modeling and Indicator Saturation for Outliers and Structural Breaks'. Journal of Statistical Software 86, Number 3, pp. 1-44

Author(s)

Felix Pretis, https://felixpretis.climateeconometrics.org/

See Also

isatvar

Examples

isvareffcor(t.pval=0.05, se=2, m=1)