MCpval

This function computes the Monte Carlo P-value.

Implementation of hypothesis testing procedures described in Hansen (1992) <doi:10.1002/jae.3950070506>, Carrasco, Hu, & Ploberger (2014) <doi:10.3982/ECTA8609>, Dufour & Luger (2017) <doi:10.1080/07474938.2017.1307548>, and Rodriguez Rondon & Dufour (2024) <https://grodriguezrondon.com/files/RodriguezRondon_Dufour_2024_MonteCarlo_LikelihoodRatioTest_MarkovSwitchingModels_20241015.pdf> that can be used to identify the number of regimes in Markov switching models.

Gabriel Rodriguez Rondon

MSTest

Hypothesis Testing for Markov Switching Models

Jean-Marie Dufour

MCpval function

<dl><dt>test_stat</dt>
<dd>Test statistic under the alternative (e.g. <code>S_0</code>).</dd>
<dt>null_vec</dt>
<dd>A (<code>N x 1</code>) vector with test statistic under the null hypothesis.</dd>
<dt>type</dt>
<dd>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.</dd></dl>

Arguments

Monte Carlo P-value — MCpval

<dl>

<dt>test_stat</dt>
<dd>Test statistic under the alternative (e.g. <code>S_0</code>).</dd>


<dt>null_vec</dt>
<dd>A (<code>N x 1</code>) vector with test statistic under the null hypothesis.</dd>


<dt>type</dt>
<dd>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.</dd>

</dl>

MCpval: Monte Carlo P-value

Description

Usage

Value

Arguments

References