geweke_test: Geweke test for convergence

In sectorgap: Consistent Economic Trend Cycle Decomposition

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.

sectorgap documentation built on May 29, 2024, 10:56 a.m.