MMCLRpval_fun: Monte Carlo Likelihood Ratio Test P-value Function

In roga11/MSTest: Hypothesis Testing for Markov Switching Models

Monte Carlo Likelihood Ratio Test P-value Function

Description

This function computes the Maximum Monte Carlo P-value.

Usage

MMCLRpval_fun(
  theta_h0,
  mdl_h0,
  k1,
  LT_h1,
  N,
  burnin,
  workers,
  lambda,
  stationary_constraint,
  thtol,
  Z,
  exog,
  mdl_h0_control,
  mdl_h1_control
)

Arguments

theta_h0	vector of parameter values under the null being considered.
mdl_h0	List with restricted model properties.
k1	integer determining the number of regimes under the alternative.
LT_h1	double specifying maximum log likelihood under alternative.
N	integer specifying the number of replications.
burnin	integer specifying the number of observations to drop from beginning of simulation.
workers	Integer determining the number of workers to use for parallel computing version of test. Note that parallel pool must already be open.
lambda	Double determining penalty on nonlinear constraint.
stationary_constraint	Boolean determining if only stationary solutions are considered (if TRUE) or not (if FALSE).
thtol	double determining the convergence criterion used during estimation.
mdl_h0_control	List with controls/options used to estimate restricted model.
mdl_h1_control	List with controls/options used to estimate unrestricted model.

Value

MMC p-value

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