LR_samp_dist {MSTest} | R Documentation |
Likelihood Ratio Test Statistic Sample Distribution
Description
This function simulates the sample distribution under the null hypothesis.
Usage
LR_samp_dist(mdl_h0, k1, N, burnin, Z, mdl_h0_control, mdl_h1_control)
Arguments
mdl_h0 |
List with restricted model properties. |
k1 |
integer specifying the number of regimes under the alternative hypothesis. |
N |
integer specifying the number of replications. |
burnin |
integer specifying the number of observations to drop from beginning of simulation. |
mdl_h0_control |
List with controls/options used to estimate restricted model. |
mdl_h1_control |
List with controls/options used to estimate unrestricted model. |
Value
vector of simulated LRT statistics
References
Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.
Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.