approx_dist_loop

This function performs the loop in required in <code>approxDistDL</code>.

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

approx_dist_loop function

<dl><dt>SN2</dt>
<dd>A (<code>T x 4</code>) matrix of test-statistics.</dd></dl>

Arguments

Loop for approxDistDL — approx_dist_loop

<dl>

<dt>SN2</dt>
<dd>A (<code>T x 4</code>) matrix of test-statistics.</dd>

</dl>

approx_dist_loop: Loop for `approxDistDL`

Description

Usage

Value

Arguments

References