Guidolin, Massimo (contributor); Ono, Sadayuki (contributor) - 2005
approach to
modeling the return distribution if the number of states, k, is allowed to grow with the sample size.
6
which are … random draw from
the unconditional probability distribution defined by the vector of state probabilities
¯
ξ. Finally, from … asymptotic
distribution:
LR ≡ 2
h
lnL(
˜
θ)−lnL(
˜
θ
r
)
i
d
→ χ
2
r
.
In the following, we will frequently employ such a test …