geweke_test {sectorgap}R Documentation

Geweke test for convergence

Description

Conducts a Geweke test for convergence of the draws.

Usage

geweke_test(x, frac1 = 0.1, frac2 = 0.5, alpha = 0.05)

Arguments

x

R x n matrix with R draws of n variables

frac1

probability mass of the first interval, a scalar between zero and one

frac2

probability mass of the second interval, a scalar between zero and one

alpha

significance level used to compute the test decision, a scalar between zero and one

Details

Under the H0 of convergence, the test statistic is standard normally distributed.

Naturally, frac1 + frac2 is between zero and one.

Value

A list with the following items

h

Test decision.

CD

Convergence Diagnostic (test statistic).

pvalue

The p-value.

alpha

The applied signifcicance level.

frac1

The fraction of data contained in the first interval.

frac2

The fraction of data contained in the second interval.


[Package sectorgap version 0.1.0 Index]