IIS Consistency Correction

Consistency correction for estimate of residual variance when using impulse indicator saturation.

Usage

isvarcor(t.pval, sigma)

Arguments

t.pval: numeric value. the p-value of selection in the impulse indicator saturation model.
sigma: numeric value. The estimated standard deviation of the residuals from the impulse indicator saturation model.

Value

a data frame containing the corrected standard deviation $sigma.cor and the correction factor used $corxi

Details

The Johansen and Nielsen (2016) impulse-indicator consistency correction for the estimated residual standard deviation.

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

Felix Pretis, http://www.felixpretis.org/

Examples


isvarcor(t.pval=0.05, sigma=2)
#>   sigma.cor    corxi
#> 1  2.295908 1.147954