approxDistDL: Approximate CDF distribution

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Approximate CDF distribution

Description

This function obtains the parameters in eq. 16 of the CDF distribution needed for combining moment-based test statistics.

Usage

approxDistDL(Tsize, simdist_N)

Arguments

Tsize	Sample size.
simdist_N	Number of simulations to approximate CDF distribution.

Value

A (2 x 4) matrix with parameters of CDF distributions. The first row contains \gamma_0 for each moment and the second row contains \gamma_1 for each moment.

References

Dufour, J. M., & Luger, R. 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models." Econometric Reviews, 36(6-9), 713-727.

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