## ----include = FALSE---------------------------------------------------------- knitr::opts_chunk$set(collapse = TRUE, comment = "#>", fig.width = 6, fig.height = 5) ## ----------------------------------------------------------------------------- library(aersn) set.seed(2026) n <- 400 e <- matrix(rnorm(2 * n), n, 2) Y <- e for (t in 2:n) Y[t, ] <- 0.5 * Y[t - 1, ] + e[t, ] Y <- sweep(Y, 2, c(0.12, -0.05), `+`) fit <- aersn_mean(Y, names = c("m1", "m2")) fit ## ----------------------------------------------------------------------------- cmp <- aersn_compare(fit, null = c(0, 0), draws = 2000, seed = 1) cmp ## ----------------------------------------------------------------------------- aersn_test(fit, null = c(0, 0), method = "shao", draws = 2000, seed = 1) aersn_test(fit, null = c(0, 0), method = "hac", kernel = "Parzen", bandwidth = "andrews") ## ----------------------------------------------------------------------------- confint(fit, method = "ewc") aersn_contrast(fit, rbind("m1 - m2" = c(1, -1)), method = "fixedb", b = 0.5, draws = 2000, seed = 1) ## ----fig.height = 3.4, fig.width = 7------------------------------------------ op <- par(mfrow = c(1, 2), mar = c(4, 4, 2, 1)) plot(aersn_region(fit, method = "hull", draws = 2000, seed = 1), null = c(0, 0), main = "Increment hull") plot(aersn_region(fit, method = "shao", draws = 2000, seed = 1), null = c(0, 0), main = "Quadratic self-normalization") par(op) ## ----------------------------------------------------------------------------- grid <- expand.grid(kernel = c("Bartlett", "Parzen", "Quadratic Spectral"), rule = c("short", "long", "andrews", "newey-west"), stringsAsFactors = FALSE) for (i in seq_len(nrow(grid))) { out <- tryCatch({ nz <- aersn_hac_lrv(fit, kernel = grid$kernel[i], bandwidth = grid$rule[i]) sprintf("bandwidth %6.3f, lag %s", nz$tuning$bandwidth, nz$tuning$lag_truncation) }, error = function(e) "not supported") cat(sprintf("%-20s %-12s %s\n", grid$kernel[i], grid$rule[i], out)) } ## ----------------------------------------------------------------------------- aersn_hac_lrv(fit, kernel = "Bartlett", lag = 8)$tuning[c("bandwidth", "lag_truncation")] ## ----------------------------------------------------------------------------- for (b in c(0.2, 0.5, 0.7, 0.9, 1)) { nz <- aersn_fixed_b_normalizer(fit, b = b) cat(sprintf("requested b = %.2f -> m = %3d, realized b = %.4f\n", b, nz$tuning$m, nz$tuning$b_grid)) } ## ----------------------------------------------------------------------------- max(abs(aersn_fixed_b_normalizer(fit, b = 1)$matrix - 2 * aersn_shao_normalizer(fit)$matrix)) ## ----------------------------------------------------------------------------- aersn_ewc_lrv(fit)$tuning[c("nu", "rule")] aersn_test(fit, method = "ewc", nu = 30)$critical.value ## ----------------------------------------------------------------------------- aersn_normalizer(fit, "ldl")$notes