DLMMCpval_fun: Moment-based MMC test p-value
In roga11/MSTest: Hypothesis Testing for Markov Switching Models

DLMMCpval_fun

R Documentation

Moment-based MMC test p-value

Description

This functions is used by numerical optimization algorithms for find maximum p-value given parameter vector theta.

Usage

DLMMCpval_fun(
  theta,
  y,
  x,
  params,
  sim_stats,
  pval_type,
  stationary_ind,
  lambda
)

Arguments

`theta`	Value of nuisance parameters. Specifically, these are the consistent estimates of nuisance parameters as discussed in Dufour & Luger (2017) LMC procedure.
`y`	series being tested.
`x`	lagged values of series.
`params`	A (`2 x 4`) matrix with parameters to combine test statistics. See `approxDistDL`.
`sim_stats`	A (`N x 1`) vector with test statistics. The last element is the test statistic from observed data.
`pval_type`	String determining the type of method used to combine p-values. If set to "min" the min method of combining p-values is used as in Fisher 1932 and Pearson 1933. If set to "prod" the product of p-values is used as in Tippett 1931 and Wilkinson 1951.
`stationary_ind`	Boolean indicator determining if only stationary solutions should be considered if `TRUE` or any solution can be considered if `FALSE`. Default is `TRUE`.
`lambda`	Numeric value for penalty on stationary constraint not being met. Default is `100`.

Value

Maximized Monte Carlo p-value.

References

Dufour, J. M., & Luger, R. 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models." Econometric Reviews, 36(6-9), 713-727.

roga11/MSTest documentation built on Feb. 25, 2025, 6:10 p.m.