Simulácie k slajdom o jednotkovom koreni

Odhadnutý regresný koeficient:

rho <-  function(){
  eps <-  rnorm(201)
  z <-  cumsum(eps)
  x <-  z[1:200]; y <- z[2:201]
  reg <- summary(lm(y ~ x) )$coefficients
  return(reg["x", "Estimate"])
}

set.seed(123)
rho.sim <- replicate(10^5, rho())
hist(rho.sim)

Doplňte analogickú funkciu na výpočet “t štatistiky”:

t.stat <-  function(){
  eps <-  rnorm(201)
  z <-  cumsum(eps)
  x <-  z[1:200]; y <- z[2:201]
  reg <- summary(lm(y ~ x) )$coefficients
  return(...)
}

set.seed(123)
t.stat.sim <- replicate(10^5, t.stat())
hist(t.stat.sim)

quantile(t.stat.sim, 0.05)
quantile(t.stat.sim, 0.01)

##        5% 
## -2.888873

##        1% 
## -3.471761