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Replicate Prono's Table II Results

Source: R/prono-diagonal-garch.R
replicate_prono_table2.Rd

Run Monte Carlo simulation matching Prono's exact specification

Usage

replicate_prono_table2(
  n_sim = 1000,
  n_obs = 500,
  config = create_prono_config(n = n_obs),
  use_diagonal_garch = TRUE,
  verbose = TRUE
)

Arguments

n_sim

Number of simulations

n_obs

Sample size per simulation

config

Configuration from create_prono_config()

use_diagonal_garch

Use diagonal GARCH (TRUE) or univariate (FALSE)

verbose

Print progress

Value

List with results data frame and summary statistics matching Prono's Table II

References

Prono, T. (2014). The Role of Conditional Heteroskedasticity in Identifying and Estimating Linear Triangular Systems, with Applications to Asset Pricing Models That Include a Mismeasured Factor. Journal of Applied Econometrics, 29(5), 800-824. doi:10.1002/jae.2387

See also

run_prono_monte_carlo for standard Monte Carlo create_prono_config for configuration

Examples

if (FALSE) { # \dontrun{
# Replication of Prono Table II (time-consuming)
# Uses 1000 simulations to match paper results
results <- replicate_prono_table2(n_sim = 1000, n_obs = 500)
} # }