gewekeTest: Conducts a Geweke test for convergence of the draws.

In RGAP: Production Function Output Gap Estimation

Conducts a Geweke test for convergence of the draws.

Description

Conducts a Geweke test for convergence of the draws.

Usage

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

Arguments

x	A R x n matrix with R draws of n variables.
frac1	The probability mass of the first interval, a scalar between zero and one.
frac2	The probability mass of the second interval, a scalar between zero and one.
alpha	The 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.

RGAP documentation built on Nov. 2, 2023, 6:02 p.m.