LR_samp_dist: Likelihood Ratio Test Statistic Sample Distribution

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

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 Unpublished manuscript.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.