LR_samp_dist function

Likelihood Ratio Test Statistic Sample Distribution

This function simulates the sample distribution under the null hypothesis.

LR_samp_dist(mdl_h0, k1, N, burnin, Z, mdl_h0_control, mdl_h1_control)

Arguments

• mdl_h0: List with restricted model properties.
• k1: integer specifying the number of regimes under the alternative hypothesis.
• N: integer specifying the number of replications.
• burnin: integer specifying the number of observations to drop from beginning of simulation.
• mdl_h0_control: List with controls/options used to estimate restricted model.
• mdl_h1_control: List with controls/options used to estimate unrestricted model.

Returns

vector of simulated LRT statistics

References

Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.

Rodriguez Rondon, Gabriel and Jean-Marie Dufour. 2022. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.