simuMdl

This function is used by Monte Carlo Likelihood ratio testing 
procedures to simulate processes 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

simuMdl function

<dl><dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>
<dt>p</dt>
<dd>integer specifying the number of autoregressive lags.</dd>
<dt>q</dt>
<dd>integer specifying the number of series.</dd>
<dt>k</dt>
<dd>integer specifying the number of regimes.</dd>
<dt>burnin</dt>
<dd>integer specifying the number of observations to drop from beginning of simulation.</dd></dl>

Arguments

Likelihood ratio test statistic sample distribution — simuMdl

<dl>

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


<dt>p</dt>
<dd>integer specifying the number of autoregressive lags.</dd>


<dt>q</dt>
<dd>integer specifying the number of series.</dd>


<dt>k</dt>
<dd>integer specifying the number of regimes.</dd>


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

</dl>

simuMdl: Likelihood ratio test statistic sample distribution

Description

Usage

Value

Arguments