Conditional p-value for the CLR statistic

Andrews, Moreira and Stock (2007) conditional p-value P(LR > m | Q_T = qT), evaluated with the x = sin(theta) substitution and a fixed 4096-interval composite Simpson rule. See Ivclr for the full statement of the integral and its source.

Usage

Morieclrp(m, qT, L, df2)

Arguments

m

CLR statistic value.

qT

Conditioning value of Q_T.

L

Number of instruments.

df2

Denominator degrees of freedom, used only when L = 1.

Value

Numeric p-value in [0, 1].

Examples

Morieclrp(2, 3, 2, 50)
#> [1] 0.2318741