MMC_bounds: MMC nuisance parameter bounds
In MSTest: Hypothesis Testing for Markov Switching Models
MMC_bounds R Documentation
MMC nuisance parameter bounds
Description
This function is used to determine the lower and upper bounds for the MMC LRT parameter search.
Usage
MMC_bounds(mdl_h0, con)
Arguments
mdl_h0
List with restricted model properties.
con
List with control options provided to MMC LRT procedure.
Value
List with theta_low, vector of parameter lower bounds, and theta_upp, vector of parameter upper bounds.
References
Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.
Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2024. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.
MSTest documentation built on Oct. 31, 2024, 1:06 a.m.
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| MMC_bounds | R Documentation |
MMC nuisance parameter bounds
Description
This function is used to determine the lower and upper bounds for the MMC LRT parameter search.
Usage
MMC_bounds(mdl_h0, con)
Arguments
mdl_h0 |
List with restricted model properties. |
con |
List with control options provided to MMC LRT procedure. |
Value
List with theta_low, vector of parameter lower bounds, and theta_upp, vector of parameter upper bounds.
References
Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2022. "Simulation-Based Inference for Markov Switching Models” JSM Proceedings, Business and Economic Statistics Section: American Statistical Association.
Rodriguez-Rondon, Gabriel and Jean-Marie Dufour. 2024. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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