LR_samp_dist_par: Monte Carlo Likelihood Ratio Test sample distribution...

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Monte Carlo Likelihood Ratio Test sample distribution (parallel version)

Description

This function simulates the sample distribution under the null hypothesis using a parallel pool.

Usage

LR_samp_dist_par(
  mdl_h0,
  k1,
  N,
  burnin,
  Z,
  mdl_h0_control,
  mdl_h1_control,
  workers
)

Arguments

mdl_h0	List with restricted model properties.
k1	integer specifying the number of regimes under the alternative hypothesis.
N	integer specifying the number of replications.
burnin	integer specifying the number of observations to drop from beginning of simulation.
mdl_h0_control	List with controls/options used to estimate restricted model.
mdl_h1_control	List with controls/options used to estimate unrestricted model.
workers	Integer determining the number of workers to use for parallel computing version of test. Note that parallel pool must already be open.

Value

vector of simulated LRT statistics

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. 2023. “Monte Carlo Likelihood Ratio Tests for Markov Switching Models.” Unpublished manuscript.

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