Simulate from a dynamic logit-x model
logitxSim.Rd
Simulate from a dynamic Autoregressive (AR) logit model with covariates ('X'). This model is essentially a logit-version of the model of Kauppi and Saikkonen (2008).
Usage
logitxSim(n, intercept = 0, ar = NULL, xreg = NULL, verbose = FALSE,
as.zoo = TRUE)
dlogitxSim(n, ...)
Arguments
- n
integer, the number of observations to generate
- intercept
numeric, the value of the intercept in the logit specification
- ar
NULL
or a numeric vector with the autoregressive parameters- xreg
NULL
or numeric vector with the values of the X-term- verbose
logical
. IfFALSE
, then only the binary process (a vector) is returned. IfTRUE
, then a matrix with all the simulated information is returned (binary process, probabilities, etc.)- as.zoo
logical
. IfTRUE
, then the returned object - a vector or matrix - will be of classzoo
- ...
arguments passed on to
logitxSim
Value
A vector or matrix, depending on whether verbose
is FALSE
or TRUE
, of class zoo
, depending on whether as.zoo
is TRUE
or FALSE
References
Heikki Kauppi and Penti Saikkonen (2008): 'Predicting U.S. Recessions with Dynamic Binary Response Models'. The Review of Economic Statistics 90, pp. 777-791
Author
Genaro Sucarrat, http://www.sucarrat.net/