LR_samp_dist

This function simulates the sample distribution under the null hypothesis.

internal

Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.

Gabriel Rodriguez Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

LR_samp_dist function

<dl><dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>
<dt>k1</dt>
<dd>integer specifying the number of regimes under the alternative hypothesis.</dd>
<dt>N</dt>
<dd>integer specifying the number of replications.</dd>
<dt>burnin</dt>
<dd>integer specifying the number of observations to drop from beginning of simulation.</dd>
<dt>mdl_h0_control</dt>
<dd>List with controls/options used to estimate restricted model.</dd>
<dt>mdl_h1_control</dt>
<dd>List with controls/options used to estimate unrestricted model.</dd></dl>

Arguments

Likelihood Ratio Test Statistic Sample Distribution — LR_samp_dist

<dl>

<dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>


<dt>k1</dt>
<dd>integer specifying the number of regimes under the alternative hypothesis.</dd>


<dt>N</dt>
<dd>integer specifying the number of replications.</dd>


<dt>burnin</dt>
<dd>integer specifying the number of observations to drop from beginning of simulation.</dd>


<dt>mdl_h0_control</dt>
<dd>List with controls/options used to estimate restricted model.</dd>


<dt>mdl_h1_control</dt>
<dd>List with controls/options used to estimate unrestricted model.</dd>

</dl>

LR_samp_dist: Likelihood Ratio Test Statistic Sample Distribution

Description

Usage

Value

Arguments

References