approx_dist_loop function

Loop for approxDistDL

This function performs the loop in required in approxDistDL.

approx_dist_loop(SN2)

Arguments

• SN2: A (T x 4) matrix of test-statistics.

Returns

The test statistics from simulated data. Used for NLS to get params needed to combine p-values.

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.