approxDistDL {MSTest} | R Documentation |
Approximate CDF distribution
Description
This function obtains the parameters in eq. 16 of the CDF distribution needed for combining moment-based test statistics.
Usage
approxDistDL(Tsize, simdist_N)
Arguments
Tsize |
Sample size. |
simdist_N |
Number of simulations to approximate CDF distribution. |
Value
A (2 x 4
) matrix with parameters of CDF distributions. The first row contains \gamma_0
for each moment and the second row contains \gamma_1
for each moment.
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]