calc_mmcpval: Calculate MMC p-value
In roga11/MSTest_v1: MSTest: An R-package For Testing Markov-Switching Models
Description
Usage
Arguments
Value
References
Description
This function calculates a Maximized Monte-Carlo p-value
Usage
1
calc_mmcpval(search_type = "randSearch_paramCI", optimOptions = NULL)
Arguments
search_type
Type of optimization algorithm when searching nuissance
parameter space. Avaiable options are: GenSA, GA, PSO, randSearch_paramCI and
gridSearch_paramCI. Default is set to randSearch_paramCI to match results in paper.
optimOptions
List containing upper "upp" and lower "low" bounds of
nuissance parameter space.
Value
MMC p-value of test
References
Dufour, J. M. (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, 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_v1 documentation built on Dec. 22, 2021, 5:16 p.m.
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Description Usage Arguments Value References
Description
This function calculates a Maximized Monte-Carlo p-value
Usage
1 | calc_mmcpval(search_type = "randSearch_paramCI", optimOptions = NULL)
|
Arguments
search_type |
Type of optimization algorithm when searching nuissance parameter space. Avaiable options are: GenSA, GA, PSO, randSearch_paramCI and gridSearch_paramCI. Default is set to randSearch_paramCI to match results in paper. |
optimOptions |
List containing upper "upp" and lower "low" bounds of nuissance parameter space. |
Value
MMC p-value of test
References
Dufour, J. M. (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, J. M., & Luger, R. (2017). Identification-robust moment-based tests for Markov switching in autoregressive models. Econometric Reviews, 36(6-9), 713-727.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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