simuMdl function

Likelihood ratio test statistic sample distribution

This function is used by Monte Carlo Likelihood ratio testing procedures to simulate processes under the null hypothesis.

simuMdl(mdl_h0, p, q, k, burnin, exog)

Arguments

• mdl_h0: List with restricted model properties.
• p: integer specifying the number of autoregressive lags.
• q: integer specifying the number of series.
• k: integer specifying the number of regimes.
• burnin: integer specifying the number of observations to drop from beginning of simulation.

Returns

List with simulated process properties.