Run Rigobon (2003) Identification Demo — run_rigobon_demo • hetid

Demonstrates Rigobon's regime-based heteroskedasticity identification method with example data and analysis.

Usage

run_rigobon_demo(
  n_obs = .hetid_const("N_DEFAULT"),
  n_regimes = 2,
  verbose = TRUE
)

Arguments

n_obs: Integer. Sample size (default: 1000).
n_regimes: Integer. Number of regimes (default: 2).
verbose: Logical. Whether to print progress messages (default: TRUE).

Value

A list containing:

data: Generated data
params: True parameters used
results: Estimation results
comparison: Comparison of OLS vs Rigobon estimates

References

Rigobon, R. (2003). Identification through heteroskedasticity. Review of Economics and Statistics, 85(4), 777-792. doi:10.1162/003465303772815727

See also

generate_rigobon_data, run_rigobon_estimation

Examples

if (FALSE) { # \dontrun{
# Basic two-regime demo
demo <- run_rigobon_demo()

# Three-regime example with larger sample
demo_3reg <- run_rigobon_demo(n_obs = 2000, n_regimes = 3)

# Silent demo
demo_quiet <- run_rigobon_demo(verbose = FALSE)
} # }