sim_DLmoments {MSTest} | R Documentation |
Simulated moment-based test statistics
Description
This function computes the four moment-based test statistics (eq. 11
- 14
) discussed in Dufour & Luger 2017 for N
different simulated series.
Usage
sim_DLmoments(Tsize, N)
Arguments
Tsize |
Length of sample size for simulation. |
N |
Number of simulated samples. |
Value
A (N x 4
) matrix with N
different simulated moment-based test statistics.
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.
[Package MSTest version 0.1.5 Index]