MCpval: Monte Carlo P-value
In roga11/MSTest: Hypothesis Testing for Markov Switching Models

MCpval

R Documentation

Monte Carlo P-value

Description

This function computes the Monte Carlo P-value.

Usage

MCpval(test_stat, null_vec, type = "geq")

Arguments

`test_stat`	Test statistic under the alternative (e.g. `S_0`).
`null_vec`	A (`N x 1`) vector with test statistic under the null hypothesis.
`type`	String determining type of test. options are: "geq" for right-tail test, "leq" for left-tail test, "abs" for absolute value test and "two-tail" for two-tail test.

Value

MC p-value of test

References

Dufour, Jean-Marie 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics". Journal of Econometrics, 133(2), 443-477.

Dufour, Jean-Marie, and Richard Luger. 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.