MMC_bounds

This function is used to determine the lower and upper bounds for the MMC LRT parameter search.

internal

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

MMC_bounds function

<dl><dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>
<dt>con</dt>
<dd>List with control options provided to MMC LRT procedure.</dd></dl>

Arguments

MMC nuisance parameter bounds — MMC_bounds

<dl>

<dt>mdl_h0</dt>
<dd>List with restricted model properties.</dd>


<dt>con</dt>
<dd>List with control options provided to MMC LRT procedure.</dd>

</dl>

MMC_bounds: MMC nuisance parameter bounds

Description

Usage

Value

Arguments

References