Monte Carlo Critical Values for Reverse-Regression Recovery Dating
Source:R/radf_recovery.R
radf_recovery_cv.RdComputes critical values for the reverse-regression BSADF statistic that
radf_recovery uses. They are calibrated to the null limiting
distribution of that statistic (Theorem 1 of Phillips & Shi 2014) and not to the
standard forward boundary of radf_mc_cv. The simulated null path is
reversed before the recursive computation, because reversal induces an
endogeneity that has no analogue in the forward regression (see the Details of
radf_recovery).
Arguments
- n
A positive integer. The sample size.
- minw
A positive integer. The minimum window size (default = \((0.01 + 1.8/\sqrt{T})T\), where T denotes the sample size).
- nrep
A positive integer. The number of Monte Carlo simulations.
- seed
An object specifying if and how the random number generator (rng) should be initialized. It is either NULL or an integer, which is passed to
set.seedbefore the simulation. If you set it, the value is saved as the "seed" attribute of the returned value. The default, NULL, leaves the state of the rng unchanged and returns .Random.seed as the "seed" attribute. Results are reproducible across the parallel and the non-parallel option when you use the same seed.- lag
A non-negative integer. Number of lags in the auxiliary regression, as in
radf.
Value
A list of class radf_cv with a single element, bsadf_cv. It
is a matrix of critical values (columns 90%, 95%, 99%)
with one row for each reverse-time position, aligned in the same way as the
bsadf_cv of radf_mc_cv is aligned to radf()$bsadf.
Note
print() and tidy() are not yet implemented for the class of
this object. recovery_cv has no tidy_radf_cv method. The objects
from radf_sign_cv() and radf_tt_cv() fall back to the method of
mc_cv, but that fallback does not apply here, because this object carries
only bsadf_cv and not the adf_cv, sadf_cv and
gsadf_cv fields that the method expects. Inspect cv$bsadf_cv
directly. Calling print(cv) or tidy(cv) currently gives an error.
![[Experimental]](figures/lifecycle-experimental.svg)
See also
Other critical values:
radf_common_cv(),
radf_mc_cv(),
radf_sb_cv(),
radf_sbz_cv(),
radf_sign_cv(),
radf_sign_dm_cv(),
radf_tt_cv(),
radf_wb_cv(),
radf_wb_ps_cv()
Examples
# \donttest{
cv <- radf_recovery_cv(n = 100, minw = 20, nrep = 200)
range(cv$bsadf_cv)
#> [1] -0.3351885 1.9060722
# }