MaxMC-package: Maximized Monte Carlo

Description Author(s) References

Description

Functions that implement the Maximized Monte Carlo technique based on Dufour, J.-M. (2006), Monte Carlo Tests with nuisance parameters: A general approach to finite sample inference and nonstandard asymptotics in econometrics. Journal of Econometrics, 133(2), 443-447.

The main functions of MaxMC are mmc and mc.

Author(s)

Julien Neves, jmn252@cornell.edu (Maintainer)

Jean-Marie Dufour, jean-marie.dufour@mcgill.ca

References

Dufour, J.-M. (2006), Monte Carlo Tests with nuisance parameters: A general approach to finite sample inference and nonstandard asymptotics in econometrics. Journal of Econometrics, 133(2), 443-447.

Dufour, J.-M. and Khalaf L. (2003), Monte Carlo Test Methods in Econometrics. in Badi H. Baltagi, ed., A Companion to Theoretical Econometrics, Blackwell Publishing Ltd, 494-519.


julienneves/MaxMC documentation built on May 7, 2019, 8:18 a.m.