calc_mcstat: Calculate combined p-value test statistic
In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models
Description
Usage
Arguments
Value
References
Description
This function computes test-statistics for observed and simulated samples.
It begins by calculating it for the obsted data, then generates test-statistics from
simulated data to approximate null distribution and then calculates the p-values and
combines them according to eq. 17 or 18 of Dufour & Luger (2017).
Usage
1
calc_mcstat(ezt, N, params)
Arguments
ezt
observed series
N
total number of test statistics (i.e. simulated + observed = N)
param
output from approxDist which obtains the parameters needed in eq. 16 which is used for
combining p-values.
Value
The four test statistics (eq. 11 - 14 in paper)
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_v1 documentation built on Dec. 22, 2021, 5:16 p.m.
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Description Usage Arguments Value References
Description
This function computes test-statistics for observed and simulated samples. It begins by calculating it for the obsted data, then generates test-statistics from simulated data to approximate null distribution and then calculates the p-values and combines them according to eq. 17 or 18 of Dufour & Luger (2017).
Usage
1 | calc_mcstat(ezt, N, params)
|
Arguments
ezt |
observed series |
N |
total number of test statistics (i.e. simulated + observed = N) |
param |
output from approxDist which obtains the parameters needed in eq. 16 which is used for combining p-values. |
Value
The four test statistics (eq. 11 - 14 in paper)
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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