vuong_sim {micsr}

Simulated pdfs for the Vuong statistics using linear models

Description

This function can be used to reproduce the examples given by Shi (2015) which illustrate the fact that the distribution of the Vuong statistic may be very different from a standard normal

Usage

vuong_sim(N = 1000, R = 1000, Kf = 15, Kg = 1, a = 0.125)

Arguments

N

sample size

R

the number of replications

Kf

the number of covariates for the first model

Kg

the number of covariates for the second model

a

the share of the variance of y explained by the two competing models

Value

a numeric of length N containing the values of the Vuong statistic

References

Shi X (2015). “A nondegenerate Vuong test.” Quantitative Economics, 85-121.

Examples

vuong_sim(N = 100, R = 10, Kf = 10, Kg = 2, a = 0.5)