combine_stat: Combine p-values

In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models

Description

This function is used to combine the p-values as in eq 17 and 18 of Dufour & Luger (2017). The input parameter type can be used to used to specify the method for combining the pvalues. If set to "min" the min method of combining p-values is used as in Fisher (1932) and Pearson (1933). If set to "prod" the product of p-values is used as in Tippett (1931) and Wilkinson (1951).

Usage

combine_stat(s0, sN, params, N, type)

Arguments

s0	test-statistic under the alternative
sN	test-statistics under the null
N	total number of test statistics (i.e. simulated + observed = N)
type	the type of method used to combine p-values. If set to "min" the min method of combining p-values is used as in Fisher (1932) and Pearson (1933). If set to "prod" the product of p-values is used as in Tippett (1931) and Wilkinson (1951).
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.

Tippett, L. (1931). The Method of Statistics. London: Williams & Norgate.

Wilkinson, B. (1951). A statistical consideration in psychological research. Psychology Bulletin 48:156–158.

Pearson, K. (1933). On a method of determining whether a sample of size n supposed to have been drawn from a parent population having a known probability integral has probably been drawn at random. Biometrika 25:379–410.

Fisher, R. (1932). Statistical Methods for Research Workers. Edinburgh: Oliver and Boyd.

roga11/MSTest_v1 documentation built on Dec. 22, 2021, 5:16 p.m.