vargaugeiis {gets} | R Documentation |
Variance of the Impulse Indicator Saturation Gauge
Description
Computes the variance of the gauge (false-positive rate of outliers under the null of no outliers) in impulse indicator saturation based on Jiao and Pretis (2019).
Usage
vargaugeiis(t.pval, T, infty=FALSE, m=1)
Arguments
t.pval |
numeric, between 0 and 1. Selection p-value used in indicator saturation. |
T |
integer, sample sized used in indicator saturation. |
m |
integer, number of iterations in variance computation, default=1 |
infty |
logical, argument used for variance computation |
Details
The function computes the variance of the Gauge (false-positive rate of outliers in impulse indicator saturation) for a given level of significance of selection (t.pval
) and sample size (T
) based on Jiao and Pretis (2019). This is an auxilliary function used within the outliertest
function.
Value
Returns a dataframe of the variance and standard deviation of the gauge, as well the asymptotic variance and standard deviation.
Author(s)
Felix Pretis, https://felixpretis.climateeconometrics.org/
References
Jiao, X. & Pretis, F. (2019). Testing the Presence of Outliers in Regression Models. Discussion Paper.
Pretis, F., Reade, J., & Sucarrat, G. (2018). Automated General-to-Specific (GETS) regression modeling and indicator saturation methods for the detection of outliers and structural breaks. Journal of Statistical Software, 86(3).
See Also
Examples
###Computing the variance of the gauge under the null for a sample of T=200 observations:
vargaugeiis(t.pval=0.05, T=200, infty=FALSE, m=1)