Simulate LTM model

Source: R/simulate.R

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

Value

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

References

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

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)
#> List of 4
#>  $ vy       : num [1:10, 1:500] -0.5647 0.059 0.0604 0.3678 0.023 ...
#>  $ mx       : num [1:10, 1:500, 1:2] -0.3045 0.3113 0.0901 0.2859 0.3448 ...
#>  $ mb       : num [1:500, 1:2] 0.639 0.69 0.741 0.532 0.566 ...
#>  $ mb_zerado: num [1:500, 1:2] 0.639 0.69 0.741 0.532 0.566 ...