The hard coded microstructure coefficients are from Proksch et al 2016 but the paper was written using an older version of the SMP (v3). A function is needed to take in observed SSA and/or Density and minimize bias by iterating the coefficients. The following is needed to do so:
Create a general function read and format SSA/Density data
Use xcorr functions to align the data as best possible
Use an optimization routine to identity best fit coefficients using microstructure()
The hard coded microstructure coefficients are from Proksch et al 2016 but the paper was written using an older version of the SMP (v3). A function is needed to take in observed SSA and/or Density and minimize bias by iterating the coefficients. The following is needed to do so: