simuMdl: Likelihood ratio test statistic sample distribution

In MSTest: Hypothesis Testing for Markov Switching Models

Likelihood ratio test statistic sample distribution

Description

This function is used by Monte Carlo Likelihood ratio testing procedures to simulate processes under the null hypothesis.

Usage

simuMdl(mdl_h0, p, q, k, burnin, exog)

Arguments

mdl_h0	List with restricted model properties.
p	integer specifying the number of autoregressive lags.
q	integer specifying the number of series.
k	integer specifying the number of regimes.
burnin	integer specifying the number of observations to drop from beginning of simulation.

Value

List with simulated process properties.

MSTest documentation built on Oct. 31, 2024, 1:06 a.m.