randSN

This function generates uncorrelated standard normal processes using box Muller method.

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

randSN function

<dl><dt>n</dt>
<dd>Integer determining the length of the process to be simulated</dd>
<dt>q</dt>
<dd>Integer determining the number of processes to be simulated</dd></dl>

Arguments

Standard normal errors using box Muller — randSN

<dl>

<dt>n</dt>
<dd>Integer determining the length of the process to be simulated</dd>


<dt>q</dt>
<dd>Integer determining the number of processes to be simulated</dd>

</dl>

randSN: Standard normal errors using box Muller

Description

Usage

Value

Arguments