sim_DLmoments: Simulated moment-based test statistics
In roga11/MSTest: Hypothesis Testing for Markov Switching Models
sim_DLmoments R Documentation
Simulated moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11 - 14) discussed in Dufour & Luger 2017 for N different simulated series.
Usage
sim_DLmoments(Tsize, N)
Arguments
Tsize
Length of sample size for simulation.
N
Number of simulated samples.
Value
A (N x 4) matrix with N different simulated moment-based test statistics.
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.
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| sim_DLmoments | R Documentation |
Simulated moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11 - 14) discussed in Dufour & Luger 2017 for N different simulated series.
Usage
sim_DLmoments(Tsize, N)
Arguments
Tsize |
Length of sample size for simulation. |
N |
Number of simulated samples. |
Value
A (N x 4) matrix with N different simulated moment-based test statistics.
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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