sim_moments: Test-statistics from simulated data
In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models
Description
Usage
Arguments
Value
References
Description
This function computes simulates residuals from a standard normal distribution
and calculates the four momment-based test-statistics (eq. 11 - 14 in paper) under the
null hypothesis using this simulated data.
Usage
1
sim_moments(t, totsim)
Arguments
t
length of sample size for simulation
number
of simulated samples
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 simulates residuals from a standard normal distribution and calculates the four momment-based test-statistics (eq. 11 - 14 in paper) under the null hypothesis using this simulated data.
Usage
1 | sim_moments(t, totsim)
|
Arguments
t |
length of sample size for simulation |
number |
of simulated samples |
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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